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Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach

Zekri, M. M. and Razali, M. N. (2019) Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach. Journal of Financial Management of Property and Construction, 25 (1). pp. 5-39. ISSN 1366-4387

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Official URL: http://www.dx.doi.org/10.1108/JFMPC-03-2019-0026

Abstract

Purpose: This paper aims to examine the dynamic of volatility of Malaysian listed property companies within pan-Asian public property markets based on different volatility perspective over the past 18 years, especially during the global financial crisis (GFC). Design/methodology/approach: This study uses several statistical methods and formulas for analysing the dynamic of volatility of Malaysian listed property companies such as exponential generalised autoregressive conditional heteroscedasticity (EGARCH) and Markov-switching (MS) EGARCH. The MS-EGARCH model provides new insights on the volatility dynamics of Malaysian listed property companies compared to conventional volatility modelling techniques, particularly EGARCH. Additionally, this paper will analyse the volatility movement based on three different sub-periods such as pre-GFC, GFC and post-GFC. Findings: The findings reveal that the markets perform differently under different volatility conditions. Moreover, the application of MS-EGARCH provides a different view on the volatility dynamics compared to the conventional EGARCH model, as MS-EGARCH provides more comprehensive findings, especially during extreme market conditions. Originality/value: This study contributes to the literature on the dynamics of Malaysian listed property companies within pan-Asian countries, as the approach for assessing the volatility performance based on different volatility conditions is less explored by previous researchers.

Item Type:Article
Uncontrolled Keywords:Malaysia, Markov-switching, regime-switching
Subjects:H Social Sciences > HT Communities. Classes. Races
Divisions:Built Environment
ID Code:89642
Deposited By: Narimah Nawil
Deposited On:09 Feb 2021 08:25
Last Modified:09 Feb 2021 08:25

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