Volatility spillover effect of Pan-Asia’s property portfolio markets
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | , , |
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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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