Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10595
DC FieldValueLanguage
dc.contributorDepartment of Building and Real Estate-
dc.creatorHui, ECM-
dc.creatorZheng, X-
dc.creatorWang, H-
dc.date.accessioned2015-05-26T08:13:10Z-
dc.date.available2015-05-26T08:13:10Z-
dc.identifier.issn0003-6846-
dc.identifier.urihttp://hdl.handle.net/10397/10595-
dc.language.isoenen_US
dc.publisherRoutledge, Taylor & Francis Groupen_US
dc.subjectChange measureen_US
dc.subjectGARCHen_US
dc.subjectGirsanov's theoremen_US
dc.subjectRisk appetiteen_US
dc.subjectSecuritiesen_US
dc.titleInvestor sentiment and risk appetite of real estate security marketen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage2801-
dc.identifier.epage2807-
dc.identifier.volume45-
dc.identifier.issue19-
dc.identifier.doi10.1080/00036846.2012.681028-
dcterms.abstractThis 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.-
dcterms.bibliographicCitationApplied economics, 2013, v. 45, no. 19, p. 2801-2807-
dcterms.isPartOfApplied economics-
dcterms.issued2013-
dc.identifier.isiWOS:000305174700010-
dc.identifier.scopus2-s2.0-84862289278-
dc.identifier.eissn1466-4283-
dc.identifier.rosgroupidr62200-
dc.description.ros2012-2013 > Academic research: refereed > Publication in refereed journal-
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