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Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective

Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9

volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …

Persistent link: https://www.econbiz.de/10012626774

Analyzing the relationship between the features of direct real estate assets and their corresponding Australian - REITs

Li, Xinyi; Zhang, Yuhong; Zhang, Xing; Gu, Runtang - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-15

This study investigated the relationship between a sector-specific Australian Real Estate Investment Trust (A-REITs) and the underlying property assets in its property portfolio. The existing studies have assessed the connectedness/correlation between the A-REITs market and a variety of other...

Persistent link: https://www.econbiz.de/10013549777

Is real estate a real diversifier in Pakistan? : an ARDL approach

Rasheed, Hafsa; Ahmad, Habib; Javid, Attiya Yasmin; … - In: Cogent business & management 9 (2022) 1, pp. 1-17

Traditional assets, like stocks and bonds, are mostly found to be highly influenced by uncertainties, and cause distress for investors most of the time, consequently investors look for safe investment options that can provide diversification benefits to cope with uncertainties. So, current...

Persistent link: https://www.econbiz.de/10014430004

An extended fama-french multi-factor model in direct real estate investing

Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-14

Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing model (CAPM) to investigate whether direct real...

Persistent link: https://www.econbiz.de/10013397750

Financial interdependencies : analyzing the volatility linkages between real estate investment trusts, Sukuk, and oil in GCC countries

Danila, Nevi - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-11

interrelationship among the assets. The results indicate that Real Estate Investment Trusts (REITs) and oil are sources of volatility … transmission, whereas sukuk is a recipient of volatility within the network. Examining the net pairwise directional linkages of two … assets, namely REITs and oil markets, reveals that they transfer their volatility to the sukuk market. Moreover, a reciprocal …

Persistent link: https://www.econbiz.de/10015117723

Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13

We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust (REIT) market from 11 countries over the...

Persistent link: https://www.econbiz.de/10013273545

Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons

Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …

Persistent link: https://www.econbiz.de/10013499504

The evaluation of the impact of macroeconomic indicators on the performance of listed real estate companies and REITs

Cohen, Viktorija; Burinskas, Arūnas - In: Mokslo darbai / Vilniaus Universitetas 99 (2020) 1, pp. 79-92

Using quarterly data from 2006 to 2019 (55 observations), this paper examines 18 Eurozone macroeconomic variables that represent monetary policy, external and construction sectors' performance, economic growth, investment, households' earnings, inflation and assesses their impact on the...

Persistent link: https://www.econbiz.de/10012264548

Health Systems in East Asia : What Can Developing Countries Learn from Japan and the Asian Tigers?

Wagstaff, Adam - 2012

The health systems of Japan and the Asian Tigers--Hong Kong (China), the Republic of Korea, Singapore, and Taiwan …. On the delivery side, too, Japan and the Tigers offer some interesting lessons. Singapore's experience with corporatizing … with regulated prices to uninsured services with unregulated prices. Japan, in its approach to rate-setting for insured …

Persistent link: https://www.econbiz.de/10012554245

The performance and diversification potential of non-listed value-add real estate funds in Japan

Hoesli, Martin; Newell, Graeme; Jufri Marzuki; Lai, … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-16

-add real estate funds in Japan are one such vehicle. This research develops a comprehensive bespoke benchmark total return … index using the ANREV database to reflect the performance of Japan-focussed non-listed value-add real estate funds. We …

Persistent link: https://www.econbiz.de/10013273409