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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 | Citation: | 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) |
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File | Description | Size | Format | Access Settings | Version | |
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cover.pdf | 8.53 kB | Adobe PDF | OPEN | None | View/Download | |
Content.pdf | 32.62 kB | Adobe PDF | OPEN | None | View/Download | |
chapter 1 introduction.pdf | 88.71 kB | Adobe PDF | OPEN | None | View/Download | |
chapter2 literature.pdf | 122.24 kB | Adobe PDF | OPEN | None | View/Download | |
Chapter 3 Research Data.pdf | 264.04 kB | Adobe PDF | OPEN | None | View/Download | |
Chapter 4 Estimation of Time-varying Risk and Findings.pdf | 289.54 kB | Adobe PDF | OPEN | None | View/Download | |
Chapter 5 Long Memory of systematic risk and estimation.pdf | 114.49 kB | Adobe PDF | OPEN | None | View/Download | |
Chapter 6 Conclusion.pdf | 27.19 kB | Adobe PDF | OPEN | None | View/Download | |
bibliography.pdf | 41.59 kB | Adobe PDF | OPEN | None | View/Download |
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