Volatility spillover effect of Pan-Asia’s property portfolio markets

Detalhes bibliográficos
Autor(a) principal: Mata, Mário Nuno
Data de Publicação: 2021
Outros Autores: Razali, Muhammad Najib, Bentes, Sonia, Vieira, Isabel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/14311
Resumo: Artigo publicado em revista científica internacional
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spelling Volatility spillover effect of Pan-Asia’s property portfolio marketsVolatilitySpilloversAsiaPropertyPortfolioEffectArtigo publicado em revista científica internacionalThis 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.MDPIRCIPLMata, Mário NunoRazali, Muhammad NajibBentes, SoniaVieira, Isabel2022-02-18T09:47:28Z20212021-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/14311engMata, M. N., Najib Razali, M. N., Bentes, S. R., & Vieira, I. (2021). Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets. Mathematics, 9(12), 1418. https://doi.org/10.3390/math9121418https://doi.org/10.3390/math9121418info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:10:17Zoai:repositorio.ipl.pt:10400.21/14311Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:22:08.217215Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Volatility spillover effect of Pan-Asia’s property portfolio markets
title Volatility spillover effect of Pan-Asia’s property portfolio markets
spellingShingle Volatility spillover effect of Pan-Asia’s property portfolio markets
Mata, Mário Nuno
Volatility
Spillovers
Asia
Property
Portfolio
Effect
title_short Volatility spillover effect of Pan-Asia’s property portfolio markets
title_full Volatility spillover effect of Pan-Asia’s property portfolio markets
title_fullStr Volatility spillover effect of Pan-Asia’s property portfolio markets
title_full_unstemmed Volatility spillover effect of Pan-Asia’s property portfolio markets
title_sort Volatility spillover effect of Pan-Asia’s property portfolio markets
author Mata, Mário Nuno
author_facet Mata, Mário Nuno
Razali, Muhammad Najib
Bentes, Sonia
Vieira, Isabel
author_role author
author2 Razali, Muhammad Najib
Bentes, Sonia
Vieira, Isabel
author2_role author
author
author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Mata, Mário Nuno
Razali, Muhammad Najib
Bentes, Sonia
Vieira, Isabel
dc.subject.por.fl_str_mv Volatility
Spillovers
Asia
Property
Portfolio
Effect
topic Volatility
Spillovers
Asia
Property
Portfolio
Effect
description Artigo publicado em revista científica internacional
publishDate 2021
dc.date.none.fl_str_mv 2021
2021-01-01T00:00:00Z
2022-02-18T09:47:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/14311
url http://hdl.handle.net/10400.21/14311
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Mata, M. N., Najib Razali, M. N., Bentes, S. R., & Vieira, I. (2021). Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets. Mathematics, 9(12), 1418. https://doi.org/10.3390/math9121418
https://doi.org/10.3390/math9121418
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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