Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2015

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Greek Real Estate Equity Market in terms of returns and volatility
Kyriaki Begiazi, Dimitrios Asteriou

Building: Titania
Room: Socratis
Date: 2015-02-07 02:00 PM – 03:45 PM
Last modified: 2015-01-27

Abstract


This study investigates the real estate stock market in Greece during the period December 2009 - November 2014. We apply, for the first time, various GARCH and asymmetric models (GJR GARCH, EGARCH) on the Greek real estate index and its constituents’ daily returns. The results show that the Athens stock exchange general index has a significant impact on real estate stock returns but there is not any significant impact in respect of the day of the week effect. We also find some asymmetries in the news. Specifically, bad news has larger effects on volatility of a pair of real estate companies. Furthermore, we examine the existence of the wide-market herding effects in the Greek real estate index. Although we do not find any evidence in support of herding, our results support the argument that herding behavior is distinct during the days of market stress with extreme negative returns. We confirm the asymmetry of herding effects.


Keywords


REITs; GARCH; Asymmetry; Herding