Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

Mário Nuno Mata,Isabel Vieira,Sónia R. Bentes,Muhammad Najib Razali

doi:10.3390/math9121418

Abstract

This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries’ economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.

Highlights

Pan-Asian countries over several decades have become more integrated in terms of economic activities, which create high volatility situations among regional markets [1,2,3,4]
The conditional variances extracted by the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) procedure of many macroeconomic parameters are used in this study to calculate macroeconomic risks
The spillover effects of Asian listed property businesses have been studied from the standpoint of volatility dynamics as well as spillover impacts, taking into account macroeconomic considerations

Summary

Introduction

Pan-Asian countries over several decades have become more integrated in terms of economic activities, which create high volatility situations among regional markets [1,2,3,4]. Pan-Asian countries are not just integrated within inter-countries in the form of economic activities, but are highly correlated in macroeconomic factors, such as interest rates, inflation, consumer price index (CPI), base lending rate (BLR) and GDP. Several researchers such as [2,5,6] have investigated the high relationship of these macroeconomic factors within the pan-Asian region. The impact from the integration among various property portfolio markets in Asia has been less discussed, especially on investment analysis topics such as causality effect, volatility, as well as the spillover effect

Objectives

Methods

Results

Conclusion