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Paper eres2005_351:
Volatility Transmission in the Real Estate Spot and Forward Markets

id eres2005_351
authors Wong, S.K.; K.W. Chau and C.Y Yiu
year 2005
title Volatility Transmission in the Real Estate Spot and Forward Markets
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary How shocks in one market influence the return and volatility of other markets has been an important question for portfolio managers. In the finance literature, many studies found evidence of volatility spillovers across international markets as well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the dynamics of its volatility transmission have been largely ignored, except for a recent paper on REITs. This paper aims to examine volatility spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market by a bivariate GARCH model. Transaction-based indices were used so that our volatility modelling is free from any smoothing problem. Our results show that volatility was mainly transmitted from the spot market to the forward market, while slight feedback effects were also found. This is inconsistent with most stock markets' results where forward-to-spot transmission was dominant. These divergent results might be explained by traders' types and market structures in the real estate market.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session Session D6
last changed 2008/11/01 09:47
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