Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223683
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dc.titleCURRENCY HEDGING AND INTERNATIONAL REAL ESTATE SECURITIES INVESTMENT
dc.contributor.authorPHAM THI THANH THUY
dc.date.accessioned2013-04-17T02:20:03Z
dc.date.accessioned2022-04-22T20:39:34Z
dc.date.available2019-09-26T14:14:12Z
dc.date.available2022-04-22T20:39:34Z
dc.date.issued2013-04-17
dc.identifier.citationPHAM THI THANH THUY (2013-04-17). CURRENCY HEDGING AND INTERNATIONAL REAL ESTATE SECURITIES INVESTMENT. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/223683
dc.description.abstractThis dissertation examines the impact of currency movements on the volatility of international real estate portfolios, as well as the effectiveness of currency hedging in overseas investments. It is shown that, except for the Japanese Yen, exchange-rate movements reinforce the movements of property stock markets. Therefore, managing currency risk should be considered in Asia-Pacific countries, while Japanese Yen exposure should be retained to take advantage of its significant relative correlation with Asian real estate securities markets. Two hedging strategies using forward contracts are employed: full-hedging and optimal-hedging strategies. Over the 2003 to 2010 time period, test statistics suggest that currency hedging significantly improves the performance of portfolios containing unhedged property stocks. In addition, full hedging is proven to be the sub-optimal strategy relative to optimal hedging. Japanese Yen long forward contracts and Hong Kong Dollar short forward contracts are strongly recommended to be included in property stock portfolios. However, variances of hedged portfolios do exceed the variances of the unhedged portfolios. This implies that exchange-rate hedging is not a good risk-management tool for risk-minimizing investors; in contrast, currency hedges are recommended for investors with speculative motives to strengthen their portfolios’ performance.
dc.language.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/2189
dc.subjectReal Estate
dc.subjectRE
dc.subjectOoi Thian Leong Joseph
dc.subject2012/2013 RE
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorOOI THIAN LEONG JOSEPH
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
dc.embargo.terms2013-06-06
Appears in Collections:Bachelor's Theses

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