The dynamics of volatility for Asian listed property companies during the global financial crisis

Abstract

This paper examines the dynamics of return and volatility for listed property company markets across the major Asian countries over sub-periods based on the global financial crisis (GFC). The GFC and Eurozone crisis have shifted investors’ focus to investment in the Asian region, making it an opportunistic and dynamic region in terms of property portfolio investment. As such, it is of interest to assess return and volatility levels in the Asian region during the global financial crisis. This paper uses EGARCH models to empirically examine the dynamic volatility of listed property companies in 12 Asian countries. The findings reveal that, for the past 15 years, Asia had experienced moderate volatility levels in term of investment in listed property companies, including during the GFC. This study contributes to the empirical literature on the volatility dynamics for Asian property market allocations in international real estate portfolios, especially during a major financial crisis. In particular, the findings from this study will be useful for international investors to better understand the volatility profile of Asian listed property companies during the GFC.