Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries

Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 102 === This paper examines how nature disasters affect the transmission of return and volatility among REITs markets of the US and other five Asia-Pacific countries. We use the Granger Causality and multivariate GARCH analysis to investigate whether there are volatil...

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Main Authors: Fu-hsiung yang, 楊富雄
Other Authors: Guang-di Chang
Format: Others
Language:en_US
Published: 2014
Online Access:http://ndltd.ncl.edu.tw/handle/d8b3mt
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spelling ndltd-TW-102NTUS53040062019-05-15T21:13:20Z http://ndltd.ncl.edu.tw/handle/d8b3mt Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries 自然災害與REITs市場波動性外溢現象—以亞太地區市場為例 Fu-hsiung yang 楊富雄 碩士 國立臺灣科技大學 財務金融研究所 102 This paper examines how nature disasters affect the transmission of return and volatility among REITs markets of the US and other five Asia-Pacific countries. We use the Granger Causality and multivariate GARCH analysis to investigate whether there are volatility spillovers of REITs in international markets. Different from other papers which investigate how one disaster affects the whole stock markets; our research examines how the natural disasters in recent decade are interconnected with the REITs markets. Our result shows significant volatility spillovers in Asia-Pacific REITs markets when natural disaster happened, which give us an initial recognition of the relation between nature disasters and the volatility correlations in REITs markets. Guang-di Chang 張光第 2014 學位論文 ; thesis 26 en_US
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language en_US
format Others
sources NDLTD
description 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 102 === This paper examines how nature disasters affect the transmission of return and volatility among REITs markets of the US and other five Asia-Pacific countries. We use the Granger Causality and multivariate GARCH analysis to investigate whether there are volatility spillovers of REITs in international markets. Different from other papers which investigate how one disaster affects the whole stock markets; our research examines how the natural disasters in recent decade are interconnected with the REITs markets. Our result shows significant volatility spillovers in Asia-Pacific REITs markets when natural disaster happened, which give us an initial recognition of the relation between nature disasters and the volatility correlations in REITs markets.
author2 Guang-di Chang
author_facet Guang-di Chang
Fu-hsiung yang
楊富雄
author Fu-hsiung yang
楊富雄
spellingShingle Fu-hsiung yang
楊富雄
Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
author_sort Fu-hsiung yang
title Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
title_short Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
title_full Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
title_fullStr Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
title_full_unstemmed Natural disasters and volatility spillovers in REITs markets: Evidence from Asia-Pacific countries
title_sort natural disasters and volatility spillovers in reits markets: evidence from asia-pacific countries
publishDate 2014
url http://ndltd.ncl.edu.tw/handle/d8b3mt
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