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

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Predictive Econometrics and Big Data (TES 2018)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 753))

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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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Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Rungrapee Phadkantha, Woraphon Yamaka & Roengchai Tansuchat

  2. Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Woraphon Yamaka & Roengchai Tansuchat

Authors
  1. Rungrapee Phadkantha
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  2. Woraphon Yamaka
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  3. Roengchai Tansuchat
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Corresponding author

Correspondence to Roengchai Tansuchat .

Editor information

Editors and Affiliations

  1. Computer Science Department, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  2. International College, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

  3. International College, Chiang Mai University, Chiang Mai, Thailand

    Nopasit Chakpitak

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Phadkantha, R., Yamaka, W., Tansuchat, R. (2018). Analysis of Risk, Rate of Return and Dependency of REITs in ASIA with Capital Asset Pricing Model. In: Kreinovich, V., Sriboonchitta, S., Chakpitak, N. (eds) Predictive Econometrics and Big Data. TES 2018. Studies in Computational Intelligence, vol 753. Springer, Cham. https://doi.org/10.1007/978-3-319-70942-0_38

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

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-70941-3

  • Online ISBN: 978-3-319-70942-0

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