Abstract

This paper aims to benchmark the level of performance and volatility of Malaysian-Listed Property Companies (MLPCs) within developed countries over the period January 1994 to December 2014. This research seeks to analyse property portfolio investment performances as well as volatility levels using advanced empirical analyses such as the Autoregressive Conditional Heteroskedasticity (ARCH) family models. This research also assesses the dynamics of MLPCs during the recent Global Financial Crisis (GFC) within developed countries. The results indicate that MLPCs show poor performance compared to other developed countries. However, MLPCs were able to offer diversification potential in certain sub-periods. In terms of linkages within the markets, MLPCs do not show any relationship to the listed property companies (LPCs) in developed countries. In addition, MLPCs show high volatility over the study period compared to developed markets. Nevertheless, MLPCs were able to show a competitive advantage compared with LPCs in developed countries during the GFC. Based on the performance and volatility assessment, it clearly shows that the property portfolio market is still way behind compared to developed markets. Malaysia aims to be a developed country very soon; therefore, there is still a lot of work that needs to be done to reform the market to be more attractive.

摘要

本文旨在对1994年1月至2014年12月期间发达国家内马来西亚上市房地产公司（MLPC）的绩效和波动水平进行基准测试。该研究旨在通过高级经验分析来分析房地产投资组合的投资绩效和波动水平。例如自回归条件异方差（ARCH）族模型。这项研究还评估了发达国家最近发生的全球金融危机（GFC）期间MLPC的动态。结果表明，与其他发达国家相比，MLPC的性能较差。但是，MLPC能够在某些子时期提供多样化的潜力。就市场内部的联系而言，MLPC与发达国家的上市房地产公司（LPC）没有任何关系。此外，与发达市场相比，MLPC在研究期内显示出较高的波动性。尽管如此，与全球范围内的LPC相比，MLPC在全球金融危机期间仍具有竞争优势。根据绩效和波动率评估，它清楚地表明，与发达市场相比，房地产投资组合市场仍然落后。马来西亚的目标是尽快成为发达国家。因此，要使市场更具吸引力，还需要做很多工作。它清楚地表明，与发达市场相比，房地产投资组合市场仍然落后。马来西亚的目标是尽快成为发达国家。因此，要使市场更具吸引力，还需要做很多工作。它清楚地表明，与发达市场相比，房地产投资组合市场仍然落后。马来西亚的目标是尽快成为发达国家。因此，要使市场更具吸引力，还需要做很多工作。