Volatility transmission between REITs and three other financial assets in the EU

Volatility transmission between REITs and three other financial assets in the EU

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 103 === This study examines the volatility transmission from returns of three other asset classes, namely, equities, bonds and currencies to European listed REITs returns. We utilize the generalized autoregressive conditional heteroscedasticity (GARCH), exponential ge...

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Main Authors: Yi-Ju Lo, 羅怡如
Other Authors: Guang-Di Chang
Format: Others
Language:en_US
Published: 2015
Online Access:http://ndltd.ncl.edu.tw/handle/94487650206714893853
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spelling ndltd-TW-103NTUS53040202017-04-24T04:23:15Z http://ndltd.ncl.edu.tw/handle/94487650206714893853 Volatility transmission between REITs and three other financial assets in the EU Volatility transmission between REITs and three other financial assets in the EU Yi-Ju Lo 羅怡如 碩士 國立臺灣科技大學 財務金融研究所 103 This study examines the volatility transmission from returns of three other asset classes, namely, equities, bonds and currencies to European listed REITs returns. We utilize the generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and Impulse Response Function (IRF) models to analyze asymmetries in conditional correlation. The sample is from June 2010 to July 2014. The empirical results show a significant negative transmission effect from equities to REITs except Greece. During the European sovereign debt crisis, the negative volatility transmission effect from stock to REITs markets is significantly widened. Our results have significant economic implications regarding the time‐dependent diversification benefits of REITs in a mixed‐assets portfolio and return characteristics of REITs. Guang-Di Chang 張光第 2015 學位論文 ; thesis 39 en_US
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language en_US
format Others
sources NDLTD
description 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 103 === This study examines the volatility transmission from returns of three other asset classes, namely, equities, bonds and currencies to European listed REITs returns. We utilize the generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and Impulse Response Function (IRF) models to analyze asymmetries in conditional correlation. The sample is from June 2010 to July 2014. The empirical results show a significant negative transmission effect from equities to REITs except Greece. During the European sovereign debt crisis, the negative volatility transmission effect from stock to REITs markets is significantly widened. Our results have significant economic implications regarding the time‐dependent diversification benefits of REITs in a mixed‐assets portfolio and return characteristics of REITs.
author2 Guang-Di Chang
author_facet Guang-Di Chang
Yi-Ju Lo
羅怡如
author Yi-Ju Lo
羅怡如
spellingShingle Yi-Ju Lo
羅怡如
Volatility transmission between REITs and three other financial assets in the EU
author_sort Yi-Ju Lo
title Volatility transmission between REITs and three other financial assets in the EU
title_short Volatility transmission between REITs and three other financial assets in the EU
title_full Volatility transmission between REITs and three other financial assets in the EU
title_fullStr Volatility transmission between REITs and three other financial assets in the EU
title_full_unstemmed Volatility transmission between REITs and three other financial assets in the EU
title_sort volatility transmission between reits and three other financial assets in the eu
publishDate 2015
url http://ndltd.ncl.edu.tw/handle/94487650206714893853
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AT luóyírú volatilitytransmissionbetweenreitsandthreeotherfinancialassetsintheeu
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