An Investigation on Vietnamese Real Estate Equity Market's Return and Volatility

The real estate sector in Vietnam, one of the fast growing economies in the emerging markets, had experienced remarkably boom in 2008 and 2009 and has suffered huge loss since 2010. In this paper, we investigate the financial performance of five major publicly traded real estate equities in Vietnam during this very special time period. We aim at providing researchers and practitioners engaging in portfolio management with insights into the real estate equity market in Vietnam. Specifically, we study how these five major real estate stocks are related to the whole Vietnamese stock market and what are the risk levels in investing these assets in a portfolio. Further, we explore the relationship among these five equities in terms of returns and volatilities. We find that three out of these five real estate equities are slightly riskier and the other two are even safer than the whole Vietnamese stock market to invest in a portfolio. The average returns of these five real estate assets are higher than those of the whole Vietnamese stock market during this period, and these stocks are much more volatile than the whole stock market in their returns. Moreover, we find that these five real estate equities are strongly correlated to each other in volatility but weakly related to each other in returns. However, the remarkable loss in the market value of the real estate sector in Vietnam since 2010 did not increase the volatility levels of these real estate equities' returns. Copyright (C) 2013 JAEBR