Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis

Authors

  • Oluwatosin Babatola Fateye Obafemi Awolowo University, Ile I've Osun State
  • Damilola 2School of Construction Economics and Management, University of the Witwatersrand, Johannesburg https://orcid.org/0000-0003-3427-3843
  • Professor Ajayi 3Estate Management Department, Obafemi Awolowo University, Ile-Ife, Osun State, Nigeria

DOI:

https://doi.org/10.15641/jarer.v7i2.1144

Keywords:

GARCH, property stock, stock mark, property, volatility, model

Abstract

The study examined the volatility of the daily market price of listed property stocks on the Johannesburg Stock Exchange (JSE) for a 10year period (2008-2017). The study used daily prices from January 2, 2008 to December 29, 2017 of twelve (12) quoted property companies out of the twenty-seven (27) listed on Johannesburg Stock Exchange (SA REIT Association, 2020). The study computed the average daily price of the selected (12) property stocks and was used as a proxy for the daily market price for the property stock market in the analysis. The study modelled SA-REIT market price volatility using generalised autoregressive conditional heteroskedasticity (GARCH 1, 1). The GARCH model reported that the previous day's information of both the daily market price (ARCH term) and the volatility (GARCH term) have a positive and significant (p<.05) effect on the current day’s daily market price volatility in the property stock market. The result of the model implies that investment in the property stock market is strongly driven by positive news on daily price than a negative shock; meaning that South Africans' investors are more sensitive and exhibit a sharp response to good news on daily market price than bad news when thinking of investing in listed property company shares on Johannesburg Stock Exchange. 

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Published

2022-09-14

How to Cite

Fateye, O. B., Ajayi, O. ., & Ajayi, C. A. (2022). Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis. Journal of African Real Estate Research, 7(2), 24–42. https://doi.org/10.15641/jarer.v7i2.1144

Issue

Vol. 7 No. 2 (2022): Journal of African Real Estate Research

Section

Research Articles

License

Copyright (c) 2022 Oluwatosin Babatola Fateye, Damilola, Professor Ajayi

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This work is licensed under a Creative Commons Attribution 4.0 International License.

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