کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087478 | 1478264 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns
ترجمه فارسی عنوان
خوشه نوسانگرایی، اهرم، اندازه و یا تاثیرات مخرب: نوسان اعتبار سرمایه گذاری در املاک و مستغلات در آسیا
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper analyzes the volatile behavior of index returns in the following Asian real estate investment trust (REIT) markets: South Korea, Singapore, Japan, Taiwan, Hong Kong, Malaysia and Thailand. It also analyzes the conditional volatilities of REIT returns and determines whether any volatility clustering, size, liquidity, or contagion effects exist in their fluctuations. The results indicate that all REIT returns have volatility clustering effects. Moreover, the behavior of the REIT returns in Singapore, Hong Kong, Malaysia, and Thailand are similar, with their fluctuations being caused mainly by the size effect. In Japan, South Korea and Taiwan, the REIT returns are mostly connected with the stock markets because of the contagion effect in these countries. Finally, the Japan REIT market is the most volatile, with its market returns being influenced by leverage, size, and contagion effects simultaneously.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 27, August 2013, Pages 18-32
Journal: Journal of Asian Economics - Volume 27, August 2013, Pages 18-32
نویسندگان
I-Chun Tsai,