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Babatunde, S O, Perera, S, Ekundayo, D and Adeleye, T E (2019) An investigation into BIM-based detailed cost estimating and drivers to the adoption of BIM in quantity surveying practices. Journal of Financial Management of Property and Construction , 25(01), 61–81.

Coleman, E, Nooni, I K, Fianko, S K, Dadzie, L, Neequaye, E N, Owusu-Agyemang, J and Ansa-Asare, E O (2020) Assessing contract management as a strategic tool for achieving quality of work in Ghanaian construction industry. Journal of Financial Management of Property and Construction, 25(01), 41–60.

Ikuabe, M, Oke, A E and Aigbavboa, C (2020) Impact of contractors’ opportunism on construction project transaction costs. Journal of Financial Management of Property and Construction , 25(01), 125–41.

Perera, B, Samarakkody, A L and Nandasena, S R (2020) Managing financial and economic risks associated with high-rise apartment building construction in Sri Lanka. Journal of Financial Management of Property and Construction , 25(01), 143–62.

Singla, H K (2020) Does family ownership affect the profitability of construction and real estate firms? Evidence from India. Journal of Financial Management of Property and Construction , 25(01), 107–24.

Tawalare, A and Laishram, B (2019) Factors hindering effective partnering in Indian public sector construction organizations. Journal of Financial Management of Property and Construction , 25(01), 83–105.

Zekri, M M and Razali, M N (2019) Volatility dynamics of Malaysian listed property companies within the Asian public property markets by using a switching regime approach. Journal of Financial Management of Property and Construction , 25(01), 5–39.

• Type: Journal Article
• Keywords: Malaysia; Volatility; Global financial crisis; Markov-switching; Asian listed property companies; Regime-switching;
• ISBN/ISSN: 1366-4387
• URL: https://doi.org/10.1108/JFMPC-03-2019-0026
• Abstract:
  This paper aims to examine the dynamic of volatility of Malaysian listed property companies within pan-Asian public property markets based on different volatility perspective over the past 18 years, especially during the global financial crisis (GFC).

  This study uses several statistical methods and formulas for analysing the dynamic of volatility of Malaysian listed property companies such as exponential generalised autoregressive conditional heteroscedasticity (EGARCH) and Markov-switching (MS) EGARCH. The MS-EGARCH model provides new insights on the volatility dynamics of Malaysian listed property companies compared to conventional volatility modelling techniques, particularly EGARCH. Additionally, this paper will analyse the volatility movement based on three different sub-periods such as pre-GFC, GFC and post-GFC.

  The findings reveal that the markets perform differently under different volatility conditions. Moreover, the application of MS-EGARCH provides a different view on the volatility dynamics compared to the conventional EGARCH model, as MS-EGARCH provides more comprehensive findings, especially during extreme market conditions.

  This study contributes to the literature on the dynamics of Malaysian listed property companies within pan-Asian countries, as the approach for assessing the volatility performance based on different volatility conditions is less explored by previous researchers.