Volatility Spillover in Australian Real Estate Investment Trust Futures

The increasing popularity of REIT futures has been witnessed in recent years. However, there is little study has been placed into REIT futures. Therefore, this study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004-2008. An Exponential-Generalised Autoregressive Conditional Heteoskedasticity (EGARCH) model is employed to analyse the volatility series of REIT futures. The results show that REITs futures are heavily influenced by REITs and stocks, suggesting that the news originated from these markets will affect REITs futures. The results also illustrates that the equity market is more influential than REITs in affecting the volatility of REIT futures. These findings have provided additional insights into the volatility patterns of property futures.