Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14278
Title: Long memory in systematic risk of international securitized real estate
Authors: GONG YANTAO
Keywords: property stock beta, long memory test
Issue Date: 18-Nov-2004
Source: GONG YANTAO (2004-11-18). Long memory in systematic risk of international securitized real estate. ScholarBank@NUS Repository.
Abstract: Previous studies provide strong evidence that systematic risks in both equity stock and property stock are time-varying, nonstationary rather than constant. Recent studies of Choudhry (2002a, b) present evidence that time-varying systematic risk could be a long memory process. In this research, weekly property and general market stock return series of 16 international markets from Oct 1992 to Nov 2002 are collected. A biviariate GARCH model is applied to estimate time-varying conditional betas of property stocks. Strong evidence of long memory for betas is discovered in markets of Singapore, Taiwan, Thailand, UK, Canada, Netherlands, and Asia-Pacific. While for HK, Korea, Malaysia, Germany, and Americas, betas are nonstationary but mean reverting. Further, property stock betas of Japan and US follow traditional ARMA model. Additionally, little evidence of structural change is discovered before and after Asian financial crisis for almost all markets. Empirical findings of long memory or mean reversion in betas will have some important implications for modern financial economics. Further, institutional investors could adjust their investment strategy and multi-factor asset allocation models such as CAPM to establish their optimal portfolio.
URI: http://scholarbank.nus.edu.sg/handle/10635/14278
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
cover.pdf8.53 kBAdobe PDF

OPEN

NoneView/Download
Content.pdf32.62 kBAdobe PDF

OPEN

NoneView/Download
chapter 1 introduction.pdf88.71 kBAdobe PDF

OPEN

NoneView/Download
chapter2 literature.pdf122.24 kBAdobe PDF

OPEN

NoneView/Download
Chapter 3 Research Data.pdf264.04 kBAdobe PDF

OPEN

NoneView/Download
Chapter 4 Estimation of Time-varying Risk and Findings.pdf289.54 kBAdobe PDF

OPEN

NoneView/Download
Chapter 5 Long Memory of systematic risk and estimation.pdf114.49 kBAdobe PDF

OPEN

NoneView/Download
Chapter 6 Conclusion.pdf27.19 kBAdobe PDF

OPEN

NoneView/Download
bibliography.pdf41.59 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

326
checked on Dec 11, 2017

Download(s)

1,307
checked on Dec 11, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.