{"id":"https://openalex.org/W2078288732","doi":"https://doi.org/10.1016/j.asieco.2013.04.010","title":"Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns","display_name":"Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns","publication_year":2013,"publication_date":"2013-04-25","ids":{"openalex":"https://openalex.org/W2078288732","doi":"https://doi.org/10.1016/j.asieco.2013.04.010","mag":"2078288732"},"language":"en","primary_location":{"id":"doi:10.1016/j.asieco.2013.04.010","doi":"https://doi.org/10.1016/j.asieco.2013.04.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.asieco.2013.04.010","pdf_url":null,"source":{"id":"https://openalex.org/S69458508","display_name":"Journal of Asian Economics","issn_l":"1049-0078","issn":["1049-0078","1873-7927"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asian Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078667374","display_name":"I\u2010Chun Tsai","orcid":"https://orcid.org/0000-0001-8277-2327","observed_orcids":["https://orcid.org/0000-0001-8277-2327"]},"institutions":[{"id":"https://openalex.org/I192168892","display_name":"National University of Kaohsiung","ror":"https://ror.org/013zjb662","country_code":"TW","type":"education","lineage":["https://openalex.org/I192168892"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"I-Chun Tsai","raw_affiliation_strings":["Department of Finance, National University of Kaohsiung, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, National University of Kaohsiung, Taiwan, ROC","institution_ids":["https://openalex.org/I192168892"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5078667374"],"corresponding_institution_ids":["https://openalex.org/I192168892"],"apc_list":{"value":3190,"currency":"USD","value_usd":3190},"apc_paid":null,"fwci":6.414,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.96185777,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"27","issue":null,"first_page":"18","last_page":"32"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.002099999925121665,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.9829999804496765},{"id":"https://openalex.org/keywords/reit-returns","display_name":"REIT returns","score":0.9190000295639038},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"volatility clustering","score":0.9509999752044678},{"id":"https://openalex.org/keywords/size-effect","display_name":"size effect","score":0.847000002861023},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7540000081062317},{"id":"https://openalex.org/keywords/liquidity-effect","display_name":"liquidity effect","score":0.8600000143051147},{"id":"https://openalex.org/keywords/contagion-effect","display_name":"contagion effect","score":0.8199999928474426},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.7570000290870667},{"id":"https://openalex.org/keywords/stock-market-linkages","display_name":"stock market linkages","score":0.6029999852180481}],"concepts":[{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.8892626762390137},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6848840713500977},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.640331506729126},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5308942198753357},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.49695494771003723},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49572646617889404},{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.4775715172290802},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4614357650279999},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.45656734704971313},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.4420321583747864},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.40367406606674194},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16362544894218445},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.1416243314743042},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1150808036327362},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.asieco.2013.04.010","doi":"https://doi.org/10.1016/j.asieco.2013.04.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.asieco.2013.04.010","pdf_url":null,"source":{"id":"https://openalex.org/S69458508","display_name":"Journal of Asian Economics","issn_l":"1049-0078","issn":["1049-0078","1873-7927"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asian Economics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.44999998807907104}],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321040","display_name":"National Science Council","ror":"https://ror.org/02kv4zf79"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W77708663","https://openalex.org/W96539725","https://openalex.org/W1488043175","https://openalex.org/W1506844681","https://openalex.org/W1507207505","https://openalex.org/W1511983891","https://openalex.org/W1525322438","https://openalex.org/W1541163771","https://openalex.org/W1558455027","https://openalex.org/W1586390848","https://openalex.org/W1693113577","https://openalex.org/W1779229204","https://openalex.org/W1861714652","https://openalex.org/W1885870536","https://openalex.org/W1932879013","https://openalex.org/W1965635191","https://openalex.org/W1966886194","https://openalex.org/W1971114867","https://openalex.org/W1978964220","https://openalex.org/W1979575715","https://openalex.org/W1985091544","https://openalex.org/W1996217783","https://openalex.org/W1996577247","https://openalex.org/W1999996900","https://openalex.org/W2033076897","https://openalex.org/W2048284609","https://openalex.org/W2052505198","https://openalex.org/W2053544412","https://openalex.org/W2057697781","https://openalex.org/W2062436879","https://openalex.org/W2064638174","https://openalex.org/W2069890690","https://openalex.org/W2074664695","https://openalex.org/W2081840714","https://openalex.org/W2086350462","https://openalex.org/W2088992973","https://openalex.org/W2094959103","https://openalex.org/W2095723024","https://openalex.org/W2097580026","https://openalex.org/W2099856928","https://openalex.org/W2115778570","https://openalex.org/W2116347131","https://openalex.org/W2117922789","https://openalex.org/W2132082635","https://openalex.org/W2149908462","https://openalex.org/W2169107902","https://openalex.org/W2173640236","https://openalex.org/W2174230791","https://openalex.org/W2891540749","https://openalex.org/W3021268329","https://openalex.org/W3021709961","https://openalex.org/W3022041122","https://openalex.org/W3121145905"],"related_works":["https://openalex.org/W2016237996","https://openalex.org/W2900693741","https://openalex.org/W410123570","https://openalex.org/W2911547832","https://openalex.org/W7095280348","https://openalex.org/W2069890690","https://openalex.org/W2438818821","https://openalex.org/W2137435506","https://openalex.org/W4407897269","https://openalex.org/W3081131563"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":7},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}