The dynamics of volatility for Asian listed property companies during the global financial crisis

Razali, Muhammad Najib

doi:10.1080/14445921.2016.1140712

Cited by 2 publications

(9 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The onset of the world's worst financial crisis, the GFC, has necessitated a thorough examination of the property portfolio industry, which must balance return-seeking behaviour in foreign markets with high risks of volatility spillovers as a result of increased market integration [4]. While greater global property market integration has allowed for unfettered capital movement, it has also increased volatility spillovers, particularly between emerging and developed countries.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Therefore, the spillover effect among the Asian portfolio market, which takes into account macroeconomic factors, needs to be assessed for the benefit of stability of the portfolio market. The inclusion of the econometric models have also been found only in a few studies, such as [4] which employed autoregressive conditional heteroscedasticity (ARCH) and generalised autoregressive conditional heteroscedasticity (GARCH), which aimed to examine the volatility across pan-Asian countries during a financial crisis. The study, on the other hand, did not take into consideration macroeconomic considerations or the spillover impact.…”

Section: Literature Reviewmentioning

confidence: 99%

“…As a prominent world economy, Japan has a long history of listed real estate. The country was traditionally able to enjoy a higher degree of stock market interdependence with many Asian countries, due to its geographical proximity [4]. Despite the growing importance of the Chinese economy and Asian real estate capital markets, relatively little academic attention has been paid to these players in their real estate market integration relationship with Asian markets, although more has been done on the stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Pan-Asian countries over several decades have become more integrated in terms of economic activities, which consequently create high volatility situations among regional markets [1][2][3][4]. Ref.…”

Section: Introductionmentioning

confidence: 99%

“…They also discovered that a few Asian public real estate markets have shown varying degrees of connectivity with the global stock market. According to [4] the property securities market's volatility has had a significant influence on investors in terms of risk and return. Ref.…”

mentioning

confidence: 99%

See 4 more Smart Citations

Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

et al. 2021

View full text Add to dashboard Cite

This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries’ economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

See 3 more Smart Citations

Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

et al. 2021

View full text Add to dashboard Cite

show abstract

The dynamics of listed property companies in Indonesia

Nguyen

Razali

2020

JPIF

View full text Add to dashboard Cite

Purpose As an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real estate investment trusts (REITs) being regulated to become a property investment vehicle in 2007. This sees macro-environment investment in the Indonesian property market taking off to a higher level regionally. In the background, Indonesian listed PCs maintain as one of the major investment vehicles for local and international investors. It has also been the subject of investment for REITs and property investment funds in Indonesia. The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed. Design/methodology/approach Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs. Findings Listed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented. Research limitations/implications The use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets. Practical implications Listed PCs have been under increasingly adjusted and positively adapted regulations from the Indonesian Government over the post-GFC period. Therefore, in order to attract interest from international investors in property investment in Indonesia, listed PCs need stronger and more efficiently adapted regulations to a competitive level of respective regulations in the region and globally. Notwithstanding the poor performance in the transitional stage, Indonesian listed PCs bring some diversification benefits to local investors who are able to pick the outperformed invested PCs at the right time. Of the on-going concerns, international investors have no restrictions on holding listed PCs in the Indonesian stock market. This provides room for improvement in business performance in listed PCs as a result of regional/global competition and international management being involved. The present study delivers awareness to investors, researchers as well as policymakers on the Indonesian property market. Originality/value This paper is the first published to present a country profile of significant property vehicles (commercial property, listed PCs and REITs). It also presents empirical research analysis of the risk-adjusted performance of listed PCs and its dynamic role in a local investors’ perspective across the pre-GFC, GFC, post-GFC periods. Given the significance of listed PCs in Asia, this research highlights more information for opportunities and on-going property investment issues in Indonesia.

show abstract

The dynamics of volatility for Asian listed property companies during the global financial crisis

Cited by 2 publications

References 26 publications

Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

The dynamics of listed property companies in Indonesia

Contact Info

Product

Resources

About