A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices

This study examines some important characters of Real Estate Investment Trusts (REITs) in six Asia-Pacific areas including Australia, Japan, Singapore, Taiwan, Korea and Hong Kong. The results show that volatility behaviours of REITs have Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects; in addition, REITs and stocks have a long term relationship in all markets.

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Year of publication:	2010
Authors:	Tsai, Ming-Shann ; Chiang, Sue-Jane ; Lin, Chih-Hsun
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 20.2010, 17, p. 1397-1400
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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