Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/150364
Title: THE DYNAMICS OF JUMP RISKS IN THE US FINANCIAL MARKETS
Authors: HUANG YUTING
Keywords: Jump Risk, Financial Volatility, Risk Contagion, Financial Market, REIT, Sector Analysis
Issue Date: 21-Aug-2018
Citation: HUANG YUTING (2018-08-21). THE DYNAMICS OF JUMP RISKS IN THE US FINANCIAL MARKETS. ScholarBank@NUS Repository.
Abstract: Understanding financial market volatility, such as jump risks, is important for risk management and portfolio allocation. Compared with continuous price changes, jumps are occasional but extreme movements. Driven by the growing importance of securitized real estate markets, this thesis is devoted to comprehensively study the dynamics of jump risks in the US REIT industry and 10 other non-real estate sectors over the 1997-2016 period. I explore the underlying risks’ sources, test the risks’ transmission paths and the consequences generated by these market swings. Results demonstrate that jump contributes greatly to total volatility especially for REITs during the crisis. Those jumps are closely linked to news announcements. Additionally, strong risk contagion exists across sectors and liquidity channel dominates the portfolio re-balancing and information channels. Lastly, jump exerts a significantly negative influence on portfolio performance. My results contribute significantly to financial market risk analysis and generate tremendous economic implications for REIT investors.
URI: http://scholarbank.nus.edu.sg/handle/10635/150364
Appears in Collections:Ph.D Theses (Open)

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