Repository logo
 
Publication

Volatility spillover effect of Pan-Asia’s property portfolio markets

2021Journal article Open access
Simple item page
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorRazali, Muhammad Najib
dc.contributor.authorBentes, Sonia
dc.contributor.authorVieira, Isabel
dc.date.accessioned2022-02-18T09:47:28Z
dc.date.available2022-02-18T09:47:28Z
dc.date.issued2021
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractThis study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries’ economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationMata, M. N., Najib Razali, M. N., Bentes, S. R., & Vieira, I. (2021). Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets. Mathematics, 9(12), 1418. https://doi.org/10.3390/math9121418pt_PT
dc.identifier.doihttps://doi.org/10.3390/math9121418pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/14311
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.relationInstituto Politécnico de Lisboapt_PT
dc.relation.ispartofseries;12
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/9/12/1418pt_PT
dc.subjectVolatilitypt_PT
dc.subjectSpilloverspt_PT
dc.subjectAsiapt_PT
dc.subjectPropertypt_PT
dc.subjectPortfoliopt_PT
dc.subjectEffectpt_PT
dc.titleVolatility spillover effect of Pan-Asia’s property portfolio marketspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage21pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleMathematicspt_PT
oaire.citation.volume9pt_PT
person.familyNameMata
person.familyNameRazali
person.familyNameBentes
person.familyNameVieira
person.givenNameMário Nuno
person.givenNameMuhammad Najib
person.givenNameSonia
person.givenNameIsabel
person.identifier1403614
person.identifier.ciencia-idFA13-1761-4192
person.identifier.ciencia-id2115-EF33-1318
person.identifier.orcid0000-0003-1765-4273
person.identifier.orcid0000-0001-7926-1892
person.identifier.orcid0000-0001-7416-5893
person.identifier.orcid0000-0002-2983-7555
person.identifier.ridC-6534-2009
person.identifier.scopus-author-id36440450000
person.identifier.scopus-author-id23479533700
person.identifier.scopus-author-id7003391431
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationbf484e05-ab4d-4efa-9ccb-ff8a74e0f6a9
relation.isAuthorOfPublication3bb5af8a-5fea-4fd5-8c12-af1061c1d169
relation.isAuthorOfPublication338f2efa-5750-4f68-aaa4-9840b43d130d
relation.isAuthorOfPublication3934fa84-4f65-4bde-9f20-d8257f6edd48
relation.isAuthorOfPublication.latestForDiscovery3934fa84-4f65-4bde-9f20-d8257f6edd48

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
mathematics-09-01418-v2 (1).pdf
Size:
339.58 KB
Format:
Adobe Portable Document Format
Download

Collections

ISCAL - Artigos