@article{ART003119941},
author={Yu, Jung Suk},
title={Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2024},
volume={34},
number={3},
pages={7-28},
doi={10.35136/krer.34.3.1}
TY - JOUR
AU - Yu, Jung Suk
TI - Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets
JO - Korea Real Estate Review
PY - 2024
VL - 34
IS - 3
PB - korea real estate research institute
SP - 7
EP - 28
SN - 2092-5395
AB - This study analyzed volatility spillover effects across different asset markets using multivariate GARCH and Diebold-Yilmaz models. The analysis showed a substantial surge in the price volatility of apartments in 11 districts of Gangnam-gu, surpassing the fluctuations observed in the nationwide apartment market, with spillover effects increasing in the virtual asset and stock markets. Compared with the national average, apartment prices in Gangnamgu exhibit less volatility over time. However, they are more sensitive to short-term fluctuations, making them more susceptible to the influence of external factors. The results from the Diebold–Yilmaz model indicate a consistent rise in yield transmission and a sharp increase in volatility transmission in 2019 during market instability. Recently, the net spillover index in Gangnam-gu and the stock market have exhibited positive values, influencing other markets. However, the net spillover index for virtual assets often shows negative values, indicating vulnerability to market forces. In times of economic uncertainty, investors may shift their funds from property and equity markets to cryptocurrencies, perceived as 'digital gold,' thereby strengthening the links between asset markets for investment diversification and risk management.
KW - Multivariate GARCH;DieboldYilmaz Spillovers;Volatility of Virtual Assets
DO - 10.35136/krer.34.3.1
ER -
Yu, Jung Suk. (2024). Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets. Korea Real Estate Review, 34(3), 7-28.
Yu, Jung Suk. 2024, "Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets", Korea Real Estate Review, vol.34, no.3 pp.7-28. Available from: doi:10.35136/krer.34.3.1
Yu, Jung Suk "Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets" Korea Real Estate Review 34.3 pp.7-28 (2024) : 7.
Yu, Jung Suk. Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets. 2024; 34(3), 7-28. Available from: doi:10.35136/krer.34.3.1
Yu, Jung Suk. "Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets" Korea Real Estate Review 34, no.3 (2024) : 7-28.doi: 10.35136/krer.34.3.1
Yu, Jung Suk. Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets. Korea Real Estate Review, 34(3), 7-28. doi: 10.35136/krer.34.3.1
Yu, Jung Suk. Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets. Korea Real Estate Review. 2024; 34(3) 7-28. doi: 10.35136/krer.34.3.1
Yu, Jung Suk. Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets. 2024; 34(3), 7-28. Available from: doi:10.35136/krer.34.3.1
Yu, Jung Suk. "Volatility Spillovers in Real Estate, Virtual Assets, and Stock Markets" Korea Real Estate Review 34, no.3 (2024) : 7-28.doi: 10.35136/krer.34.3.1
