@article{ART001698165},
author={Seo Wonhyeong and Yu, Jung Suk},
title={A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2012},
volume={74},
pages={65-92},
doi={10.15793/kspr.2012.74..005}
TY - JOUR
AU - Seo Wonhyeong
AU - Yu, Jung Suk
TI - A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea
JO - The Korea Spatial Planning Review
PY - 2012
VL - 74
IS - null
PB - 국토연구원
SP - 65
EP - 92
SN - 1229-8638
AB - In this paper, we derive REITs price indices reliable in Korean REITs markets and examine stylized facts amongst GARCH-type models to find out risk premiums and volatility persistence in the U.S. and Korea. The main research findings of this paper are as follows. First, there was risk premium in the U.S. equity REITs before the financial crises but not in Korean REITs. Second, the GARCH effect lasted longer after the financial crisis in the U.S. and Korea. Third, leverage effect was seen after the financial crisis in some EWI models in the Korean REITs while it was regularly seen in the U.S. REITs. Finally, in calculating REITs price indices, the EWI model led to a result more similar to the U.S. market than the MCI model and the distributions of return on REITs in the U.S. and Korea were fat-tailed compared to a normal distribution.
KW - Risk Premium;GARCH Effect;Leverage Effect;Fat-Tailed Distribution
DO - 10.15793/kspr.2012.74..005
ER -
Seo Wonhyeong and Yu, Jung Suk. (2012). A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea. The Korea Spatial Planning Review, 74, 65-92.
Seo Wonhyeong and Yu, Jung Suk. 2012, "A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea", The Korea Spatial Planning Review, vol.74, pp.65-92. Available from: doi:10.15793/kspr.2012.74..005
Seo Wonhyeong, Yu, Jung Suk "A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea" The Korea Spatial Planning Review 74 pp.65-92 (2012) : 65.
Seo Wonhyeong, Yu, Jung Suk. A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea. 2012; 74 65-92. Available from: doi:10.15793/kspr.2012.74..005
Seo Wonhyeong and Yu, Jung Suk. "A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea" The Korea Spatial Planning Review 74(2012) : 65-92.doi: 10.15793/kspr.2012.74..005
Seo Wonhyeong; Yu, Jung Suk. A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea. The Korea Spatial Planning Review, 74, 65-92. doi: 10.15793/kspr.2012.74..005
Seo Wonhyeong; Yu, Jung Suk. A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea. The Korea Spatial Planning Review. 2012; 74 65-92. doi: 10.15793/kspr.2012.74..005
Seo Wonhyeong, Yu, Jung Suk. A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea. 2012; 74 65-92. Available from: doi:10.15793/kspr.2012.74..005
Seo Wonhyeong and Yu, Jung Suk. "A Comparative Analysis on the Stylized Facts of REITs Price Indices in the U.S. and Korea" The Korea Spatial Planning Review 74(2012) : 65-92.doi: 10.15793/kspr.2012.74..005
