Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis
نویسندگان
چکیده
The study examined the volatility of daily market price listed property stocks on Johannesburg Stock Exchange (JSE) for a 10year period (2008-2017). used prices from January 2, 2008 to December 29, 2017 twelve (12) quoted companies out twenty-seven (27) (SA REIT Association, 2020). computed average selected and was as proxy stock in analysis. modelled SA-REIT using generalised autoregressive conditional heteroskedasticity (GARCH 1, 1). GARCH model reported that previous day's information both (ARCH term) have positive significant (p<.05) effect current day’s market. result implies investment is strongly driven by news than negative shock; meaning South Africans' investors are more sensitive exhibit sharp response good bad when thinking investing company shares Exchange.
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ژورنال
عنوان ژورنال: Journal of African real estate research
سال: 2022
ISSN: ['2304-8395']
DOI: https://doi.org/10.15641/jarer.v7i2.1144