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|Title:||Are REITs a good shelter from financial crises? Evidence from the Asian markets||Authors:||Chiang, M.-C.
Extreme value theory
Multivariate GARCH model
|Issue Date:||Apr-2013||Citation:||Chiang, M.-C., Tsai, I.-C., Sing, T.-F. (2013-04). Are REITs a good shelter from financial crises? Evidence from the Asian markets. Journal of Property Investment and Finance 31 (3) : 237-253. ScholarBank@NUS Repository. https://doi.org/10.1108/14635781311322210||Abstract:||Purpose: The goal of this research is to investigate the time-varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach: The Multivariate GARCH-vech model is used to capture the time-varying correlation. The extreme value theory (EVT) is then employed to describe the extreme connection between REIT and market returns before and after financial crises. Findings: Empirical results show that the conditional risks in both markets have increased abruptly since the start of the sub-prime mortgage crisis and soared to a higher level as Lehman Brothers collapsed. Besides, the REIT markets have been positively correlated with stock markets since the sub-prime crisis unfolded and the increases of correlation coefficients after the crisis are more than two times larger than those before the crisis in most of the countries. Lastly, the size and probability of having extreme positive coefficient are greater than those expected in normal market conditions. Practical implications: Thus, empirical evidence suggests that REITs are not as defensive as they are in times of stable markets and may not be a good shelter during financial chaos. Originality/value: To investors, the authors' findings can fortify the understanding of market connections and assist in forming their portfolios. The authors' conclusion, which is drawn given the background of financial market turbulence, is different from those of other works, which mainly focus on the connection of REITs and stock markets in normal market conditions. © Emerald Group Publishing Limited.||Source Title:||Journal of Property Investment and Finance||URI:||http://scholarbank.nus.edu.sg/handle/10635/113946||ISSN:||1463578X||DOI:||10.1108/14635781311322210|
|Appears in Collections:||Staff Publications|
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