Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10595
Title: Investor sentiment and risk appetite of real estate security market
Authors: Hui, ECM 
Zheng, X
Wang, H
Keywords: Change measure
GARCH
Girsanov's theorem
Risk appetite
Securities
Issue Date: 2013
Publisher: Routledge, Taylor & Francis Group
Source: Applied economics, 2013, v. 45, no. 19, p. 2801-2807 How to cite?
Journal: Applied economics 
Abstract: This article proposes a new model to measure the risk appetite in absence of option prices. Without options transaction, traditional measurements cannot be made. This article establishes a Risk Appetite (RA) indicator by way of change measure and simulation, with two density functions, i.e. risk-neutral density and historical density. The RA indicators use the data from the Property Composite Index (PCI) and the Shanghai Stock Exchange Composite Index (SSECI). The empirical result shows that investors involved in the real estate security market have lower RA compared to those in the general security market. Particularly, RA indicators for both indices started to fall markedly in early 2008 and even more so after September 2008. The changes in RA suggest that the overall investors' attitudes nowadays towards China's stock market are never as pessimistic as before.
URI: http://hdl.handle.net/10397/10595
ISSN: 0003-6846
EISSN: 1466-4283
DOI: 10.1080/00036846.2012.681028
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