Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market

Abstract

This paper investigates the impact of the jump risk of the US REIT market on the volatility dynamics for the REIT markets of Japan and Hong Kong, and devises a novelty bivariate jump framework that can distinguish between the systematic jump risk and idiosyncratic jump risk. The empirical results show that the volatilities for the REIT markets of Japan and Hong Kong are affected by both the idiosyncratic jump risk and the systematic jump risk of the US market, and that the contribution of the systematic jump risk is more important than the idiosyncratic jump risk.