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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Article
Chinese Real Estate Indices Prior to the REIT Legislatio
Author(s)
Kyriaki Begiazi
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DOI:10.17265/1537-1514/2016.02.002
Affiliation(s)
Kyriaki Begiazi, Ph.D., Financial Department, Hellenic Balcanian Holdings, Athens, Greece.
ABSTRACT
Real Estate Investment Trusts (REITs) play an important role in the modern financial system as they provide investors with a liquid stake in real estate. This study investigates the real estate stock market in China during the period of July 2001-December 2015, prior to the Chinese REIT legislation. The descriptive statistics of the Shanghai and Shenzhen real estate indices are estimated along with the general index of each stock exchange. The results suggest that the general index of each stock market has a significant impact on real estate stock returns. Therefore, the real estate stock market may not be able to completely isolate its performance from the general stock market trend. Finally, various GARCH and asymmetric EGARCH models are applied to the time series daily return under a quantitative approach. Shanghai real estate index reports asymmetric transition dynamics for positive and negative shocks and the asymmetry of the volatility response to news seems to be present.
KEYWORDS
GARCH, EGARCH, asymmetries, volatility, time series, returns
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