Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns

This paper analyzes the volatile behavior of index returns in the following Asian real estate investment trust (REIT) markets: South Korea, Singapore, Japan, Taiwan, Hong Kong, Malaysia and Thailand. It also analyzes the conditional volatilities of REIT returns and determines whether any volatility clustering, size, liquidity, or contagion effects exist in their fluctuations. The results indicate that all REIT returns have volatility clustering effects. Moreover, the behavior of the REIT returns in Singapore, Hong Kong, Malaysia, and Thailand are similar, with their fluctuations being caused mainly by the size effect. In Japan, South Korea and Taiwan, the REIT returns are mostly connected with the stock markets because of the contagion effect in these countries. Finally, the Japan REIT market is the most volatile, with its market returns being influenced by leverage, size, and contagion effects simultaneously. (C) 2013 Elsevier Inc. All rights reserved.