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Title: Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index
Authors: Hui, ECM 
Chan, KKK
Keywords: Halloween effect
January effect
Securitized real estate index
Shiryaev-Zhou index
Trading strategy
Issue Date: 2015
Publisher: Elsevier Ltd
Source: Habitat international, 2015, v. 48, p. 38-45 How to cite?
Journal: Habitat International 
Abstract: Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous.
ISSN: 0197-3975
DOI: 10.1016/j.habitatint.2015.03.009
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