Abstract
This paper examines the empirical relations between information transmissions and REITs stock market volatility, the differences of asymmetric effect of information on arriving in Korea, U.S. and Japanese REITs stock markets using the GJR-MA(1) model. The result of the study is as follows. First, In the Korean and U.S. stock markets, the GJR-MA model was found to be suitable for analyzing asymmetric effect of news. Second, Korea showed negative values at 5% significance level in asymmetric effect of REITs stock price volatility, while U.S. showed positive values at 1% significance level. However, Japan showed a positive value but showed no significance. Empirical evidence suggests that in the Korean REITs market, good news increases stock price volatility more than bad news, and in U.S., bad news increases stock price volatility more than good news. Third, the conditional volatility in terms of unexpected returns of -5% to 5% was about twice as high in good news in korea, and was about twice as high in bad news in U.S. Therefore, it is important to distinguish the information that arrives on the stock market.
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