{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T02:06:17Z","timestamp":1760234777194,"version":"build-2065373602"},"reference-count":56,"publisher":"MDPI AG","issue":"12","license":[{"start":{"date-parts":[[2021,6,18]],"date-time":"2021-06-18T00:00:00Z","timestamp":1623974400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Mathematics"],"abstract":"<jats:p>This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries\u2019 economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.<\/jats:p>","DOI":"10.3390\/math9121418","type":"journal-article","created":{"date-parts":[[2021,6,18]],"date-time":"2021-06-18T11:19:20Z","timestamp":1624015160000},"page":"1418","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Volatility Spillover Effect of Pan-Asia\u2019s Property Portfolio Markets"],"prefix":"10.3390","volume":"9","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1765-4273","authenticated-orcid":false,"given":"M\u00e1rio Nuno","family":"Mata","sequence":"first","affiliation":[{"name":"ISCAL-Instituto Superior de Contabilidade e Administra\u00e7\u00e3o de Lisboa, Instituto Polit\u00e9cnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, Portugal"},{"name":"Departamento de Economia, Universidade de Evora, Largo Dos Colegiais, 2, 7002-554 \u00c9vora, Portugal"}]},{"given":"Muhammad","family":"Najib Razali","sequence":"additional","affiliation":[{"name":"Faculty of Built Environment and Surveying, Universiti Teknologi Malaysia, Johor Bahru 81310, Johor, Malaysia"},{"name":"Centre of Environmental Sustainability and Water Security, Universiti Teknologi Malaysia, Johor Bahru 81310, Johor, Malaysia"}]},{"given":"S\u00f3nia R.","family":"Bentes","sequence":"additional","affiliation":[{"name":"Lisbon Accounting and Business School (ISCAL), Lisbon Polytechnic Institute, Avenida Miguel Bombarda 20, 1069-035 Lisbon, Portugal"},{"name":"Business Research Unit (BRU-IUL), Av. das For\u00e7as Armadas, 1649-026 Lisbon, Portugal"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2983-7555","authenticated-orcid":false,"given":"Isabel","family":"Vieira","sequence":"additional","affiliation":[{"name":"Departamento de Economia, Universidade de \u00c9vora and CEFAGE, 7002-554 \u00c9vora, Portugal"}]}],"member":"1968","published-online":{"date-parts":[[2021,6,18]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1111\/1540-6229.00736","article-title":"The predictability of international real estate markets, exchange rate risks and diversification consequences","volume":"26","author":"Liu","year":"1998","journal-title":"Real Estate Econ."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"295","DOI":"10.1108\/14635780610674507","article-title":"Macroeconomic risk influences on the property stock market","volume":"24","author":"Liow","year":"2006","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"371","DOI":"10.1080\/10835547.2004.12091145","article-title":"Risk-adjusted performance of real estate stocks: Evidence from developing markets","volume":"26","author":"Ooi","year":"2004","journal-title":"J. Real Estate Res."},{"key":"ref_4","first-page":"235","article-title":"The dynamics of volatility for Asian listed property companies during the global financial crisis","volume":"21","author":"Razali","year":"2015","journal-title":"Pac. Rim Prop. Res. J."},{"key":"ref_5","doi-asserted-by":"crossref","unstructured":"Khalfaoui, R., Tiwari, A.K., Alqahtani, F., Hammoudeh, S., and Sarwar, S. (2021). Dynamic co-movement and interdependency among real estate index in China: A multi-scale multiple correlation analysis. Int. J. Hous. Mark. Anal.","DOI":"10.1108\/IJHMA-06-2020-0069"},{"key":"ref_6","doi-asserted-by":"crossref","unstructured":"Razali, M.N., Hamid, M.Y., and Zekri, M.M. (2019). The dynamic of volatility of Pan-Asian property portfolio markets. Plan. Malays. J., 17.","DOI":"10.21837\/pmjournal.v17.i9.582"},{"key":"ref_7","unstructured":"CBRE (2015). Asia Pacific Real Estate Markets Outlook, CBRE Global Research."},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1080\/10835547.2012.12091331","article-title":"Modeling relationships among securitized property markets, stock markets, and macroeconomics variables","volume":"34","author":"Yunus","year":"2012","journal-title":"J. Real Estate Res."},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1080\/09599910903441721","article-title":"The significance and performance of property securities markets in the Asian IFCs","volume":"26","author":"Newell","year":"2009","journal-title":"J. Prop. Res."},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"116","DOI":"10.1108\/JPIF-07-2016-0052","article-title":"An international analysis of time varying beta risk in listed real estate securities","volume":"35","author":"Morri","year":"2017","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_11","doi-asserted-by":"crossref","first-page":"194","DOI":"10.1016\/j.qref.2018.05.001","article-title":"Volatility spillovers across global asset classes: Evidence from time and frequency domains","volume":"70","author":"Tiwari","year":"2018","journal-title":"Q. Rev. Econ. Financ."},{"key":"ref_12","first-page":"24","article-title":"The significance and performance of listed property companies in Asian developed and emerging markets","volume":"17","author":"Nguyen","year":"2011","journal-title":"Pac. Rim Prop. Res. J."},{"key":"ref_13","doi-asserted-by":"crossref","unstructured":"Simbolon, L. (2018). The influence of macroeconomic factors on stock price: The case of real estate and property companies. Global Tensions in Financial Markets, Emerald Publishing Limited.","DOI":"10.1108\/S0196-382120170000034010"},{"key":"ref_14","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1108\/13664380680001083","article-title":"Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns","volume":"11","author":"West","year":"2006","journal-title":"J. Financ. Manag. Prop. Constr."},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1080\/10835547.2016.12091447","article-title":"Time variation of expected returns on REITs: Implications for market integration and the financial crisis","volume":"38","author":"Li","year":"2016","journal-title":"J. Real Estate Res."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1108\/14635780510575094","article-title":"Cross-market dynamics in property stock markets: Some international evidence","volume":"23","author":"Liow","year":"2005","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"610","DOI":"10.1108\/JPIF-06-2014-0039","article-title":"The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages","volume":"32","author":"Liow","year":"2014","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s11146-011-9346-8","article-title":"Volatility spillovers, comovements and contagion in securitized real estate markets","volume":"47","author":"Hoesli","year":"2013","journal-title":"J. Real Estate Financ. Econ."},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/j.jimonfin.2004.10.006","article-title":"Panel cointegration results on international capital mobility in Asian economies","volume":"24","author":"Kim","year":"2005","journal-title":"J. Int. Money Financ."},{"key":"ref_20","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1080\/09599910701440081","article-title":"Measuring spillover effects across Asian property stocks","volume":"24","author":"Wilson","year":"2007","journal-title":"J. Prop. Res."},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1080\/09599910802605400","article-title":"Financial crisis and Asian real estate securities market interdependence: Some additional evidence","volume":"25","author":"Liow","year":"2008","journal-title":"J. Prop. Res."},{"key":"ref_22","doi-asserted-by":"crossref","first-page":"1099","DOI":"10.1111\/jofi.12149","article-title":"Connected stocks","volume":"69","author":"Polk","year":"2014","journal-title":"J. Financ."},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"150","DOI":"10.1108\/CFRI-11-2014-0095","article-title":"Spillover effect in Asian financial markets: A VAR-structural GARCH analysis","volume":"6","author":"Wang","year":"2016","journal-title":"China Financ. Rev. Int."},{"key":"ref_24","doi-asserted-by":"crossref","first-page":"234","DOI":"10.1080\/1540496X.2017.1326380","article-title":"Market imperfections, macroeconomic conditions, and capital structure dynamics: A cross-country study","volume":"54","author":"Kang","year":"2018","journal-title":"Emerg. Mark. Financ. Trade"},{"key":"ref_25","doi-asserted-by":"crossref","first-page":"423","DOI":"10.1198\/jbes.2010.06060","article-title":"A new class of tests of contagion with applications","volume":"28","author":"Fry","year":"2010","journal-title":"J. Bus. Econ. Stat."},{"key":"ref_26","doi-asserted-by":"crossref","first-page":"458","DOI":"10.1007\/s11146-009-9178-y","article-title":"Global property market diversification","volume":"41","author":"Gallo","year":"2009","journal-title":"J. Real Estate Financ. Econ."},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1080\/09599916.2010.502005","article-title":"Nowhere to hide: An analysis of investment opportunities in listed property markets during financial market crises","volume":"28","author":"Ryan","year":"2011","journal-title":"J. Prop. Res."},{"key":"ref_28","doi-asserted-by":"crossref","first-page":"207","DOI":"10.1016\/S0261-5606(00)00006-1","article-title":"Volatility spillover effects from Japan and the US to the Pacific-Basin","volume":"19","author":"Ng","year":"2000","journal-title":"J. Int. Money Financ."},{"key":"ref_29","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1515\/saeb-2017-0015","article-title":"Volatility nexus between stock market and macro-economic variables in Bangladesh: An extended GARCH approach","volume":"64","author":"Hasan","year":"2017","journal-title":"Sci. Ann. Econ. Bus."},{"key":"ref_30","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.physa.2015.11.010","article-title":"Are international securitized property markets converging or diverging?","volume":"446","author":"Hui","year":"2016","journal-title":"Phys. A Stat. Mech. Appl."},{"key":"ref_31","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1016\/j.econmod.2016.08.001","article-title":"Real estate global beta and spillovers: An international study","volume":"59","author":"Liow","year":"2016","journal-title":"Econ. Model."},{"key":"ref_32","doi-asserted-by":"crossref","first-page":"96","DOI":"10.1016\/j.econmod.2017.06.012","article-title":"Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty","volume":"68","author":"Liow","year":"2018","journal-title":"Econ. Model."},{"key":"ref_33","unstructured":"Risteski, D., Sadoghi, A., and Davcev, D. (2013, January 21\u201322). Improving predicting power of EGARCH models for financial time series volatility by using Google trend. Proceedings of the International Conference on Frontiers of Energy, Environmental Materials and Civil Engineering, Shanghai, China."},{"key":"ref_34","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1111\/j.1540-6229.2008.00214.x","article-title":"Global financial integration and real estate security returns","volume":"36","author":"Bardhan","year":"2008","journal-title":"Real Estate Econ."},{"key":"ref_35","first-page":"240","article-title":"The linkages between real estate securities in the Asia-Pacific","volume":"7","author":"Garvey","year":"2001","journal-title":"Pac. Rim Prop. Res. J."},{"key":"ref_36","first-page":"158","article-title":"Measuring financial asset return and volatility spillovers, with application to global equity markets","volume":"119","author":"Diebold","year":"2008","journal-title":"Econ. J."},{"key":"ref_37","doi-asserted-by":"crossref","first-page":"163","DOI":"10.54648\/TRAD2018008","article-title":"China\u2019s \u201cbelt and road\u201d initiative: Mapping the world trade normative and strategic implications","volume":"52","author":"Chaisse","year":"2018","journal-title":"J. World Trade"},{"key":"ref_38","doi-asserted-by":"crossref","unstructured":"Baum, A.E., and Hartzell, D. (2012). Global Property Investment: Strategies, Structures, Decisions, John Wiley and Sons.","DOI":"10.1002\/9781444347289"},{"key":"ref_39","unstructured":"Liow, K.H., and Schindler, F. (2021, June 13). An Assessment of the Relationship between Public Real Estate Markets and Stock Markets at the Local, Regional, and Global Levels. Available online: https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1949640."},{"key":"ref_40","doi-asserted-by":"crossref","first-page":"599","DOI":"10.1086\/296648","article-title":"Economic forces, fundamental variables, and equity returns","volume":"67","author":"He","year":"1994","journal-title":"J. Bus."},{"key":"ref_41","doi-asserted-by":"crossref","first-page":"481","DOI":"10.1111\/1540-6229.00074","article-title":"International real estate returns: A multifactor, multicountry approach","volume":"31","author":"Bond","year":"2003","journal-title":"Real Estate Econ."},{"key":"ref_42","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1080\/09599910701439992","article-title":"Modelling linkages between US and Asia? Pacific securitized property markets","volume":"24","author":"Yunus","year":"2007","journal-title":"J. Prop. Res."},{"key":"ref_43","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1108\/14635781311292971","article-title":"Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007\u20132009","volume":"31","author":"Milunovich","year":"2013","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_44","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1468-0084.1990.mp52002003.x","article-title":"Maximum likelihood estimation and inference on cointegration\u2014With appucations to the demand for money","volume":"52","author":"Johansen","year":"1990","journal-title":"Oxf. Bull. Econ. Stat."},{"key":"ref_45","doi-asserted-by":"crossref","first-page":"318","DOI":"10.1017\/S0266466600005296","article-title":"Stationarity and persistence in the GARCH (1,1) model","volume":"6","author":"Nelson","year":"1990","journal-title":"Econ. Theory"},{"key":"ref_46","first-page":"1","article-title":"Glossary to arch (GARCH)","volume":"49","author":"Bollerslev","year":"2008","journal-title":"Creat. Res. Pap."},{"key":"ref_47","first-page":"197","article-title":"The performance of Thai-REITs in a mixed-asset portfolio","volume":"17","author":"Pham","year":"2011","journal-title":"Pac. Rim Prop. Res. J."},{"key":"ref_48","first-page":"221","article-title":"The significance and performance of listed property companies in Vietnam","volume":"16","author":"Nguyen","year":"2010","journal-title":"Pac. Rim Prop. Res. J."},{"key":"ref_49","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1007\/s11146-005-2790-6","article-title":"Long-term co-memories and short-run adjustment: Securitized real estate and stock markets","volume":"31","author":"Liow","year":"2005","journal-title":"J. Real Estate Financ. Econ."},{"key":"ref_50","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1108\/14757700710835032","article-title":"REIT returns: Between the Pacific and the Atlantic","volume":"6","author":"Li","year":"2007","journal-title":"Rev. Account. Financ."},{"key":"ref_51","doi-asserted-by":"crossref","first-page":"366","DOI":"10.1108\/14635780310483647","article-title":"Conditional variance tests of integration between direct and indirect real estate markets","volume":"21","author":"Sing","year":"2003","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_52","doi-asserted-by":"crossref","first-page":"222","DOI":"10.1162\/REST_a_00167","article-title":"Volatility spillovers in East Asian financial markets: A MEM-based approach","volume":"94","author":"Engle","year":"2012","journal-title":"Rev. Econ. Stat."},{"key":"ref_53","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1108\/JFMPC-03-2019-0026","article-title":"Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach","volume":"25","author":"Zekri","year":"2019","journal-title":"J. Financ. Manag. Prop. Constr."},{"key":"ref_54","doi-asserted-by":"crossref","first-page":"92","DOI":"10.1108\/JPIF-07-2018-0048","article-title":"Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies","volume":"37","author":"Liow","year":"2019","journal-title":"J. Prop. Invest. Financ."},{"key":"ref_55","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/j.strueco.2019.09.009","article-title":"Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach","volume":"52","author":"Gabauer","year":"2020","journal-title":"Struct. Chang. Econ. Dyn."},{"key":"ref_56","first-page":"91","article-title":"The dynamics of listed property companies in Indonesia","volume":"38","author":"Nguyen","year":"2020","journal-title":"J. Financ. Manag. Prop. Constr."}],"container-title":["Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2227-7390\/9\/12\/1418\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T06:18:17Z","timestamp":1760163497000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2227-7390\/9\/12\/1418"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,6,18]]},"references-count":56,"journal-issue":{"issue":"12","published-online":{"date-parts":[[2021,6]]}},"alternative-id":["math9121418"],"URL":"https:\/\/doi.org\/10.3390\/math9121418","relation":{},"ISSN":["2227-7390"],"issn-type":[{"type":"electronic","value":"2227-7390"}],"subject":[],"published":{"date-parts":[[2021,6,18]]}}}