리츠의 변동성요소와 점프리스크에 관한 연구

다국어 초록 (Multilingual Abstract)

This paper examines whether REIT has heteroscedasticity and jump risk, which are observed in general financial time series data, and the relationship between REIT volatility and the stock market. To achieve these objectives, we have used the Component-Jump GARCH model. Using the FTSE NAREIT All Equity REIT Index from January 4, 1999 to August 31, 2015, this paper finds that REIT has both heteroscedasticity and jump risk, and heteroscedasticity is decomposed into permanent component and transitory component. Jump risk, particularly, comes every 19 trading days in the REIT market, with the estimated jump frequency parameter being 0.0519. This implies that REIT could have market jump or crash risk like common stock. Moreover, REIT total volatility is well explained by the S&P1500 permanent volatility component and approximately 10% of REIT jump component is explained by the S&P1500 jump component.

참고문헌 (Reference)

1 윤병조, "이자율 스왑의 장기변동성과 거시위험요인에 관한 연구" 한국파생상품학회 21 (21): 255-273, 2013

2 김명직, "금융시계열분석" 경문사 2002

3 Lee, C. L, "Volatility transmission in Australian REIT futures" 15 : 221-238, 2009

4 Cotter, J, "Uncovering volatility dynamics in daily REIT returns" 13 : 119-128, 2007

5 Devaney, M, "Time-varying risk premia for real estate investment trusts: a GARCH-M model" 41 : 335-346, 2001

6 Newell, G, "The role of residential REITs in REIT portfolios" 15 : 129-139, 2009

7 Stephen, L, "The return due to diversification of real estate to the US mixed-asset portfolio" 11 : 19-28, 2005

8 Liu, C. H, "The predictability of returns on equity REITs and their co-movement with other assets" 5 : 401-418, 1992

9 Nelling, E, "The predictability of equity REIT returns" 16 : 251-268, 1998

10 Newell, G, "The effectiveness of A-REIT futures as a risk management strategy in the Global Financial Crisis" 16 : 339-357, 2010

11 Garvey, R, "The Linkages between Real Estate Securities in the Pacific Region" 7 : 240-258, 2001

12 Gerlach, R, "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets" 25 : 974-991, 2006

13 Adrian, T, "Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk" 63 : 2997-3030, 2008

14 Ane, T, "Short and long term components of volatility in Hong Kong stock returns" 16 : 439-460, 2006

15 Andrew, M, "Public and private real estate in a mixed-asset portfolio" 9 : 193-203, 2003

16 Cotter, J, "Multivariate modeling of daily REIT volatility" 32 : 305-325, 2006

17 Bredin, D, "Monetary shocks and REIT returns" 35 : 315-331, 2007

18 Cotter, J, "Modeling long memory in REITs" 36 : 533-554, 2008

19 Chang, K.-H, "Jumps and time-varying correlations in daily foreign exchange rates" 20 : 611-637, 2001

20 Payne, J. E, "Further evidence on the transmission of shocks across REIT markets:an examination of REIT sub-sectors" 2 : 141-146, 2006

21 Wilson, P. J, "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Component Approach" 34 : 407-424, 2007

22 Liow, K. H, "Financial Crisis and Asian Real Estate Securities Market Interdependence:Some Additional Evidence" 25 : 127-155, 2008

23 Li, J, "Do securitized real estate markets jump? International evidence" 31 : 13-35, 2015

24 Jirasakuldech, B, "Conditional volatility of equity real estate investment trust returns: a pre- and post-1993 comparison" 38 : 137-154, 2009

25 Engle, R. F, "Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger" 475-497, 1999

26 Seiler, M. J, "Are REITs Real Estate?" 5 : 171-181, 1999

27 Stevenson, S, "An examination of volatility spillovers in REIT returns" 8 : 229-238, 2002

28 Beveridge, S, "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’" 7 : 151-174, 1981