Purpose: 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 primary aim of the study is to investigate the volatility pattern of the daily market price; in an attempt to document and model the nature of volatility characterised by the daily price of the listed property stock market for informed investment decision making.

Design/Methodology/Approach: 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 property stocks were selected based on the quoted property companies that have sufficient published data on daily prices for the period under review. The data were obtained from the JSE published statistical bulletin. 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 deployed mean, standard deviation, maximum and minimum analytical tools for descriptive statistics, Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS); Jarque-Bera, Breusch-Godfrey LM and Heteroskedasticity tests for unit root, normal distribution, autocorrelation, and ARCH effect tests respectively. The diversification benefits and modelling of SA-REIT market price volatility were analysed using correlation matrix and generalised autoregressive conditional heteroskedasticity (GARCH 1, 1)

Findings: Analysis of residual estimate of the series documents the evidence of volatility characterised by prolonged high and low clustering patterns for the period under review. 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.

Practical implications: The study documents and models the statistically significant influence of conditional variance (volatility) of the daily price of the South Africa property stock market. 

Originality/Value: The study added to the existing body of knowledge by documenting the volatility pattern and model structure of SA-property stock markets for informed investment decision making.