Volatility Spillover in Australian Real Estate Investment Trust Futures

摘要：

The increasing popularity of REIT futures has been witnessed in recent years. However, there is little study has been placed into REIT futures. Therefore, this study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004-2008. An Exponential-Generalised Autoregressive Conditional Heteoskedasticity (EGARCH) model is employed to analyse the volatility series of REIT futures. The results show that REITs futures are heavily influenced by REITs and stocks, suggesting that the news originated from these markets will affect REITs futures. The results also illustrates that the equity market is more influential than REITs in affecting the volatility of REIT futures. These findings have provided additional insights into the volatility patterns of property futures.

关键词： volatility spillover REIT futures EGARCH Australia

作者: Chyi Lin Lee

作者单位: School of Economics and Finance, University of Western Sdyney, Locked Bag, Sydney, Australia 1797

会议类型: 国际会议

会议名称: 2009 International Conference on Construction & Real Estate Management(2009建设与房地产管理国际会议)

会议地点: 北京

会议语种:英文

页码: 892-897

在线出版日期: 2009-11-05（万方平台首次上网日期，不代表论文的发表时间）