Modeling of daily REIT returns and volatility

Asteriou, Dimitrios; Begiazi, Kyriaki

doi:10.1108/jpif-06-2013-0035

Cited by 14 publications

(8 citation statements)

References 38 publications

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“…The parameter β estimates for the EGARCH (1, 1) model confirms that bad news generates the volatility of the WOWAX, S-Net, Europe and Pictet during the pre-GFC, GFC, and post-GFC periods. The results are similar to those of Cheung and Ng (1992), Koutmos (1992), Poon and Taylor (1992), and Asteriou and Begiazi (2013). Figure 3 reveals more information regarding the volatility of four water indices, four water markets and two water funds during the GFC period.…”

Section: Egarch (1 1) Modelsupporting

confidence: 74%

Returns and volatility of water investments

Reza

Tularam

2018

Cogent Economics & Finance

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This study analyzes the stock returns and volatility of the global water industry in different (full, pre-GFC, GFC and post-GFC) periods. The study estimates ARMA (1, 1)-GARCH (1, 1) and EGARCH (1, 1) models on the World Water index (WOWAX), S-Network Global Water Index (S-Net), S&P Global Water Index (S&P), and MSCI ACWI Water Utilities Index (MSCI ACWI), the Asia, Europe, Latin America and US water markets, Pictet Global Water Fund (Pictet), and KBC Eco Water Fund (KBC Eco) for the period 2004-2014. In this study, the EGARCH (1, 1) model results suggest the existence of persistence of volatility from four water indices, four water markets and two water funds in different periods and asymmetric volatility (leverage) for Asia and US, S-Net and Pictet in full, pre-GFC and GFC periods and for WOWAX in GFC and post-GFC periods. The WOWAX is not highly correlated with water markets and water funds, which suggests that it may provide a possible opportunity for portfolio diversification in different periods.Some important findings of this study are noted as follows. We find that water indices, water markets, and water funds are correlated with each other. However, the results show that WOWAX provides an opportunity of portfolio diversification benefits to investors in different (full, pre-GFC, GFC, and post-GFC) periods which is in line with Jin, Roca, Li, Wong, and Cheung's (2015) results. It is notable that the ARMA (1, 1)-GARCH(1, 1) model results show that the conditional volatility process GARCH (1, 1) has a positive effect on the serial autocorrelation of squared residuals for water indices, water markets and water funds in full, GFC and post-GFC periods. Again, EGARCH (1, 1) model results show the significance of β and γ, suggesting persistence of volatility from four water indices, four water markets, and two water funds in different periods (full, pre-GFC, GFC and post-GFC) and asymmetric volatility (leverage) for S-Net, Asia and US and Pictet in the full, pre-GFC and GFC periods, and WOWAX in the GFC and post-GFC periods.This study has a number of significant contributions to the current literature. Firstly, it is the first study to investigate the relationships between returns and volatility of the water indices, water markets, water funds, and water markets in different (full, pre-GFC, GFC, and post-GFC) periods. Secondly, this study searches for the existence of correlations and dynamic relationships in water indices, water markets and water funds with shareholders' value in the global water industry. Thirdly and importantly, in a qualitative manner, this study addresses the value relevance of markets, which has a profound impact on the water industry in relation to water funds, water indices, and their components.The rest of this paper is organized as follows. Section 2 presents a further institutional background. Section 3 reviews the related literature. Section 4 discusses our research hypothesis. Section 5 outlines the data and methodologies employed in the study. Section 6 analyzes the empirical resul...

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Section: Egarch (1 1) Modelsupporting

confidence: 74%

Returns and volatility of water investments

Reza

Tularam

2018

Cogent Economics & Finance

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“…Many studies have tried to investigate the behavior of REIT performance. One of the most common scope ofstudies in REITs performance is comparing performance of one or some REITs companies within one jurisdiction (Akinsomi, Ong, Ibrahim, & Newell, 2016;Aro-gordon, 2015;Asteriou & Beigazi, 2013;Bene, Anderson, & Zumpano, 2009;Brown, 2000;Compton, Johnson, Kunkel, & Compton, 2006;Escobari & Jafarinejad, 2016;Hartzell, Kallberg, & Liu, 2008;Hartzell, Sun, & Titman, 2014;Ho & Tay, 2016;Huerta, Jackson, & Ngo, 2015;Larson, 2005;C. Lee, Chien, & Lin, 2012;Liow & Addae-dapaah, 2010;Lu, Chen, & Liao, 2014;Olanrele, Said, & Daud, 2014;Pellerin et al, 2013;Quek & Ong, 2008;San, Heng, & Pong, 2011;Yung, Li, & Jian, 2017), with USA market is the most studied so far, which is not surprising because USA REITs market is the mature one in the world.…”

Section: Reits Performance Risk and Volatilitymentioning

confidence: 99%

Literature Review on REITs and Islamic REITs and Lessons Learned for Islamic REITs in Indonesia

Indrawan

Wahyuningsih

2019

ijief

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Real Estate Investment Trusts (REITs) as a new instrument in many capital markets is an interesting topic.Although not yet to be popular globally, REITs has gained popularity as flexible, cost efficient and profitable real estate investment vehicle for investors as well as provide liquidity for real estate sector, especially in advanced markets like in US, Japan and Singapore. The emergence of Islamic Financial Institutions (IFIs) coincided with increasing popularity of REITs open opportunity for development of Islamic REITs (I-REITs) as competitive but sharia compliant REITs compared to the conventional one. The dominance of Malaysia as market player of I-REITs as well as many underresearched areas open opportunity for betterment of the current I-REITs markets. This paper is a literature review with two objectives. First, to compile and review existing articles on REITs, both conventional and Islamic, and second, to gain lesson learned as material for development of I-REITs in Indonesia as ultimate goal. It is expected that this literature review will generate ideas for future development proposals on I-REITs, particularly in Indonesia. This study found that literature on I-REITs is relatively thin compared to its conventional counterparts, and Indonesia is still left behind in I-REITs development despite regulatory framework is already in force. Therefore, further effort to promote supply and demand of I-REITs in Indonesia should be taken as a way to diversify Islamic investment avenues for sharia oriented investors.

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“…While a number of papers such as Devaney (2001), Stevenson (2002), Asteriou and Begiazi (2013) and Chang and Chen (2014) have examined REITs volatility linkages they have utilized univariate models. This paper extends the analysis of volatility by using a multivariate GARCH (M-GARCH) framework.…”

Section: Introductionmentioning

confidence: 99%

A multivariate analysis of United States and global real estate investment trusts

Begiazi

Asteriou

Pılbeam

2016

Int Econ Econ Policy

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Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations.

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Modeling of daily REIT returns and volatility

Cited by 14 publications

References 38 publications

Returns and volatility of water investments

Returns and volatility of water investments

Literature Review on REITs and Islamic REITs and Lessons Learned for Islamic REITs in Indonesia

A multivariate analysis of United States and global real estate investment trusts

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