The dynamic of volatility of pan-asian property portfolio markets

Abstract

The securitised market in Asia has become more progressive recently, especially with the introduction of Real Estate Investment Trusts (REITs). The financial crisis such Global Financial Crisis has put the Asian property market into a convenient means to invest because of their sustained economy from that crisis. Nevertheless, the Asian property market has become more complex to understand, especially for institutional investors. As such, it is important to understand the market volatility especially the Asian property market. An understanding of volatility level especially in regional market is important to determine the cost of capital as well as to detect leverage decision and investment. Significant changes in volatility will have a significant impact to property portfolio market at the regional level. With the emergence of regional and global investors in property, it is important to answer the question on the situation of Asian property portfolio markets’ volatility. Moreover, economy of each of Pan-Asian countries will also be assessed to show the significance of their economy development and provide information for investor’s investment strategies from the volatility level point of view. This paper will assess the volatility level of pan-Asian property portfolio market over the period January 2000 to December 2015 by using EGARCH model.