Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach
Journal of Financial Management of Property and Construction
ISSN: 1366-4387
Article publication date: 29 October 2019
Abstract
Purpose
This paper aims to examine the dynamic of volatility of Malaysian listed property companies within pan-Asian public property markets based on different volatility perspective over the past 18 years, especially during the global financial crisis (GFC).
Design/methodology/approach
This study uses several statistical methods and formulas for analysing the dynamic of volatility of Malaysian listed property companies such as exponential generalised autoregressive conditional heteroscedasticity (EGARCH) and Markov-switching (MS) EGARCH. The MS-EGARCH model provides new insights on the volatility dynamics of Malaysian listed property companies compared to conventional volatility modelling techniques, particularly EGARCH. Additionally, this paper will analyse the volatility movement based on three different sub-periods such as pre-GFC, GFC and post-GFC.
Findings
The findings reveal that the markets perform differently under different volatility conditions. Moreover, the application of MS-EGARCH provides a different view on the volatility dynamics compared to the conventional EGARCH model, as MS-EGARCH provides more comprehensive findings, especially during extreme market conditions.
Originality/value
This study contributes to the literature on the dynamics of Malaysian listed property companies within pan-Asian countries, as the approach for assessing the volatility performance based on different volatility conditions is less explored by previous researchers.
Keywords
Citation
Zekri, M.M. and Razali, M.N. (2019), "Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach", Journal of Financial Management of Property and Construction, Vol. 25 No. 1, pp. 5-39. https://doi.org/10.1108/JFMPC-03-2019-0026
Publisher
:Emerald Publishing Limited
Copyright © 2019, Emerald Publishing Limited