A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices

• Autores: Ming-Shann Tsai, Sue-Jane Chiang, Chih-Hsun Lin
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 20, Nº. 16-18, 2010, págs. 1397-1400
• Idioma: inglés
• DOI: 10.1080/09603107.2010.493137
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• Resumen

  • This study examines some important characters of Real Estate Investment Trusts (REITs) in six Asia-Pacific areas including Australia, Japan, Singapore, Taiwan, Korea and Hong Kong. The results show that volatility behaviours of REITs have Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects; in addition, REITs and stocks have a long term relationship in all markets.