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Article: Volatility transmission in the real estate spot and forward markets

TitleVolatility transmission in the real estate spot and forward markets
Authors
KeywordsBivariate GARCH
Pre-sale
Volatility spillover
Issue Date2007
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638
Citation
Journal Of Real Estate Finance And Economics, 2007, v. 35 n. 3, p. 281-293 How to Cite?
AbstractHow shocks in one market influence the returns and volatility of other markets has been an important question for portfolio managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but not vice versa. © 2007 Springer Science+Business Media, LLC.
Persistent Identifierhttp://hdl.handle.net/10722/81987
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 1.144
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWong, SKen_HK
dc.contributor.authorChau, KWen_HK
dc.contributor.authorYiu, CYen_HK
dc.date.accessioned2010-09-06T08:24:11Z-
dc.date.available2010-09-06T08:24:11Z-
dc.date.issued2007en_HK
dc.identifier.citationJournal Of Real Estate Finance And Economics, 2007, v. 35 n. 3, p. 281-293en_HK
dc.identifier.issn0895-5638en_HK
dc.identifier.urihttp://hdl.handle.net/10722/81987-
dc.description.abstractHow shocks in one market influence the returns and volatility of other markets has been an important question for portfolio managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but not vice versa. © 2007 Springer Science+Business Media, LLC.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638en_HK
dc.relation.ispartofJournal of Real Estate Finance and Economicsen_HK
dc.subjectBivariate GARCHen_HK
dc.subjectPre-saleen_HK
dc.subjectVolatility spilloveren_HK
dc.titleVolatility transmission in the real estate spot and forward marketsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0895-5638&volume=35&spage=281&epage=293&date=2007&atitle=Volatility+Transmission+in+the+Real+Estate+Spot+and+Forward+Markets+en_HK
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_HK
dc.identifier.emailChau, KW: hrrbckw@hku.hken_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.authorityWong, SK=rp01028en_HK
dc.identifier.authorityChau, KW=rp00993en_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s11146-007-9037-7en_HK
dc.identifier.scopuseid_2-s2.0-34548448935en_HK
dc.identifier.hkuros141254en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34548448935&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume35en_HK
dc.identifier.issue3en_HK
dc.identifier.spage281en_HK
dc.identifier.epage293en_HK
dc.identifier.isiWOS:000249212100004-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridWong, SK=7404591021en_HK
dc.identifier.scopusauthoridChau, KW=24830082500en_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK

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