Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10202
Title: Are the global real estate markets contagious?
Authors: Hui, ECM 
Chan, KKK
Keywords: Cokurtosis
Contagion
Coskewness
Financial tsunami
Real estate
Issue Date: 2012
Publisher: Taylor & Francis co-Published with Vilnius Gediminas Technical University
Source: International journal of strategic property management, 2012, v. 16, no. 3, p. 219-235 How to cite?
Journal: International journal of strategic property management 
Abstract: The aim of this paper is to investigate the contagion across real estate markets of four countries: Hong Kong, China, U.S. and U.K., during the financial tsunami in 2008. We use the Forbes-Rigobon test, the coskewness test and the cokurtosis test. We propose a new cokurtosis test constructed by extending the method of constructing the coskewness test to further higher order moments. It can show additional channels of contagion that other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. The coskewness and cokurtosis tests show that contagion exists between the four countries, and the contagion effect is stronger between Hong Kong and China, and between U.S. and U.K. This provides clues for investors on how to diversify their investment to reduce their risk. This paper bridges the gap that previous works on contagion across real estate markets give mixed results, and gives a first insight into the contagion pattern of global real estate markets during the financial tsunami.
URI: http://hdl.handle.net/10397/10202
ISSN: 1648-715X
EISSN: 1648-9179
DOI: 10.3846/1648715X.2011.645904
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