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Data in the 21st Century Read chapter Read first chapter

2018 | OriginalPaper | Chapter

Analysis of Risk, Rate of Return and Dependency of REITs in ASIA with Capital Asset Pricing Model

Authors : Rungrapee Phadkantha, Woraphon Yamaka, Roengchai Tansuchat

Published in: Predictive Econometrics and Big Data

Publisher: Springer International Publishing

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Abstract

This study introduces an approach to fitting a copula based seemingly unrelated regression to an interval-valued data set. This approach consists of fitting a model on the appropriate point of the interval values assumed by the variables in the learning set. To find the appropriate point of the interval values, we assign weights in calculating the appropriate value between intervals by using convex combination method. We apply this methodology to quantify the risk and dependence of Real Estate Investment Trust (REITs) in Asia. Our results suggest that Hong Kong and Japan markets have a positive sign of the beta and both markets have less volatility than the global REITs market. On the other hand, we find that the estimated beta for Singapore market shows a negative relationship with global REITs market. We conclude that Singapore market can be viewed as a hedge against higher risk in Asian REITs.

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previous chapter Emissions, Trade Openness, Urbanisation, and Income in Thailand: An Empirical Analysis
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Metadata
Title
Analysis of Risk, Rate of Return and Dependency of REITs in ASIA with Capital Asset Pricing Model
Authors
Rungrapee Phadkantha
Woraphon Yamaka
Roengchai Tansuchat
Copyright Year
2018
Book
Predictive Econometrics and Big Data

Print ISBN: 978-3-319-70941-3

Electronic ISBN: 978-3-319-70942-0

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-3-319-70942-0_38

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