Switching regime of Malaysian listed property companies within pan-Asian public real estate markets

The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is diffi...

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Main Author:	Mohd. Zekri, Mohammad Muzzammil
Format:	Thesis
Language:	English
Published:	2019
Subjects:	HD1394-1394.5 Real estate management
Online Access:	http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf
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id	my-utm-ep.85993
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spelling	my-utm-ep.859932020-08-30T08:48:58Z Switching regime of Malaysian listed property companies within pan-Asian public real estate markets 2019 Mohd. Zekri, Mohammad Muzzammil HD1394-1394.5 Real estate management The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is difficult for the findings to be compared with other advanced markets, in terms of the application of advanced statistical methods such as regime-switching. This approach provides more comprehensive results compared to conventional volatility modelling technique. Thus, this research analysed the performance of Malaysian listed property companies within pan-Asian markets, besides employing the more recent volatility modelling approach. Besides, understanding the impact of the Global Financial Crisis (GFC) on the performance and dynamic of volatility of property investment in pan-Asia, particularly Malaysia was also studied. This research employed several quantitative analyses, namely statistical methods and formulas such as total return analysis, risk analysis, Sharpe ratio, correlation and the combination between Markov-switching (MS) and Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH). These were used to analyse secondary data gathered from Thomson Reuters DataStream consisting pan-Asian listed property companies and cash indices. To analyse the impact of the crisis, three sub-periods were established, namely pre- GFC, GFC and post-GFC. The findings showed that Malaysia was one of the most underperforming property markets in pan-Asian between 2000 and 2017. However, Malaysia was able to offer diversification benefits for investors. In addition, based on the sub-period analysis, Malaysia and other pan-Asian markets exhibited negative annual returns with high risk level during the crisis period. This indicated the severe impact of the crisis. Meanwhile, application of regime-switching approach provided new insights into the dynamics of volatility as it is able to divide the property markets into two different volatility regimes, especially during extreme market conditions. The regime-switching approach showed that Malaysian listed property companies recorded negative spill-over effect and leverage effect across three different sub-periods, particularly during high volatility regime. Thus, it is not advisable to invest during those periods. Finally, this study contributes to the literature on the application of regime-switching approach on pan-Asian listed property companies as this has not been studied extensively by previous researchers in the real estate discipline. This is due to the fact that most researchers focus their study towards advanced markets such United States and European property markets. In addition, some recommendations for future studies are made to enhance the knowledge and the quality related to the research on securitised property markets in pan-Asia. 2019 Thesis http://eprints.utm.my/id/eprint/85993/ http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf application/pdf en public http://dms.library.utm.my:8080/vital/access/manager/Repository/vital:131442 masters Universiti Teknologi Malaysia, Faculty of Built Environment & Surveying Faculty of Built Environment & Surveying
institution	Universiti Teknologi Malaysia
collection	UTM Institutional Repository
language	English
topic	HD1394-1394.5 Real estate management
spellingShingle	HD1394-1394.5 Real estate management Mohd. Zekri, Mohammad Muzzammil Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
description	The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is difficult for the findings to be compared with other advanced markets, in terms of the application of advanced statistical methods such as regime-switching. This approach provides more comprehensive results compared to conventional volatility modelling technique. Thus, this research analysed the performance of Malaysian listed property companies within pan-Asian markets, besides employing the more recent volatility modelling approach. Besides, understanding the impact of the Global Financial Crisis (GFC) on the performance and dynamic of volatility of property investment in pan-Asia, particularly Malaysia was also studied. This research employed several quantitative analyses, namely statistical methods and formulas such as total return analysis, risk analysis, Sharpe ratio, correlation and the combination between Markov-switching (MS) and Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH). These were used to analyse secondary data gathered from Thomson Reuters DataStream consisting pan-Asian listed property companies and cash indices. To analyse the impact of the crisis, three sub-periods were established, namely pre- GFC, GFC and post-GFC. The findings showed that Malaysia was one of the most underperforming property markets in pan-Asian between 2000 and 2017. However, Malaysia was able to offer diversification benefits for investors. In addition, based on the sub-period analysis, Malaysia and other pan-Asian markets exhibited negative annual returns with high risk level during the crisis period. This indicated the severe impact of the crisis. Meanwhile, application of regime-switching approach provided new insights into the dynamics of volatility as it is able to divide the property markets into two different volatility regimes, especially during extreme market conditions. The regime-switching approach showed that Malaysian listed property companies recorded negative spill-over effect and leverage effect across three different sub-periods, particularly during high volatility regime. Thus, it is not advisable to invest during those periods. Finally, this study contributes to the literature on the application of regime-switching approach on pan-Asian listed property companies as this has not been studied extensively by previous researchers in the real estate discipline. This is due to the fact that most researchers focus their study towards advanced markets such United States and European property markets. In addition, some recommendations for future studies are made to enhance the knowledge and the quality related to the research on securitised property markets in pan-Asia.
format	Thesis
qualification_level	Master's degree
author	Mohd. Zekri, Mohammad Muzzammil
author_facet	Mohd. Zekri, Mohammad Muzzammil
author_sort	Mohd. Zekri, Mohammad Muzzammil
title	Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_short	Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_full	Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_fullStr	Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_full_unstemmed	Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_sort	switching regime of malaysian listed property companies within pan-asian public real estate markets
granting_institution	Universiti Teknologi Malaysia, Faculty of Built Environment & Surveying
granting_department	Faculty of Built Environment & Surveying
publishDate	2019
url	http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf
_version_	1747818479267872768

Switching regime of Malaysian listed property companies within pan-Asian public real estate markets

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