Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/226186
Title: ANALYSIS OF RISK AND RETURN OF ASIAN PROPERTY STOCK INDEXES
Authors: SIM MONG CHUAN MERVYN
Issue Date: 2004
Citation: SIM MONG CHUAN MERVYN (2004). ANALYSIS OF RISK AND RETURN OF ASIAN PROPERTY STOCK INDEXES. ScholarBank@NUS Repository.
Abstract: Given the increasing interest of global real estate funds and US investors in overseas opportunities, this study seeks to contribute to the literature on risk-return performance of property and its portfolio implications, in ten Asian markets to shed some light on the attractiveness of Asian listed real estate as an investment option for international investors. This study also looks at the volatility, persistence of volatility and risk premium, as well as the presence of a "leverage effect" in listed real estate and the effect of the financial crisis on returns. A case study of the Singapore property sector is also included, in the context of the various market sectors and individual property companies. The study uses a dataset that includes securitized property and market returns of the US, UK and ten Asian markets (China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand) for the 1990 to 2003 time period. Results indicate that Asian property has not produced high levels of compound returns relative to the US and UK property markets. They have also experienced higher levels of volatility. Nonetheless, there are diversification benefits when combined with developed countries' portfolios. On the volatility dimension, investigation using ARCH (1,1)-M and EGARCH (1,1)-M models show that conditional heteroskedascity is present in the return series of most of the markets, with high volatility persistence and evidence of asymmetric behavior in volatility. There is an absence of significantly positive relationship between expected returns and conditional volatility in most markets.
URI: https://scholarbank.nus.edu.sg/handle/10635/226186
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