Time-varying mean and volatility spillover in Asian securitized real estate markets

Abstract

This paper investigates the time varying mean and volatility spillovers among Asian securitized real estate markets from two aspects. First, we analyzed the individual regime switching characters of securitized real estate market returns with generalized SWARCH model. Then we conducted the multilateral mean and volatility spillover analysis on the securitized real estate returns with the multivariate VAR-EGARCH model. Lastly, our comparison of pre- and post- global financial crisis indicates that the volatility spillovers have increased significantly after the crisis.