Price discovery and volatility transmission in Australian REIT cash and futures markets. Issue 2 (2nd April 2016)

• Record Type: Journal Article
• Authors: Lee, Ming-Te; Kuo, Shew-Huei; Lee, Ming-Long; Lee, Chyi Lin
• Is Part Of: International journal of strategic property management. Volume 20:Issue 2(2016)
• Page Start: 113
• Page End: 129
• Publication Date: 2016-04-02
• Subjects: REIT -- GFC -- futures -- Price discovery -- Volatility transmission; Real estate business -- Periodicals; Real estate management -- Periodicals; Real estate business; Real estate management; Periodicals; 333.5068
• DOI: 10.3846/1648715X.2015.1106989
• Languages: English
• ISSNs: 1648-9179

Abstract

ABSTRACT: This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.