Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/21829
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dc.contributor.authorHui, ECMen_US
dc.contributor.authorChan, KKKen_US
dc.date.accessioned2015-05-26T08:17:09Z-
dc.date.available2015-05-26T08:17:09Z-
dc.date.issued2014-
dc.identifier.citationPhysica A. Statistical mechanics and its applications, 2014, v. 405, p. 216-225en_US
dc.identifier.issn0378-4371-
dc.identifier.urihttp://hdl.handle.net/10397/21829-
dc.description.abstractThis study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes-Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US's equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis.en_US
dc.description.sponsorshipDepartment of Building and Real Estateen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofPhysica A. Statistical mechanics and its applicationsen_US
dc.subjectCokurtosisen_US
dc.subjectContagionen_US
dc.subjectCoskewnessen_US
dc.subjectFinancial crisisen_US
dc.subjectReal estateen_US
dc.titleThe global financial crisis : is there any contagion between real estate and equity markets?en_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage216-
dc.identifier.epage225-
dc.identifier.volume405-
dc.identifier.doi10.1016/j.physa.2014.03.008-
dc.identifier.scopus2-s2.0-84897883031-
dc.identifier.eissn1873-2119-
dc.identifier.rosgroupidr70234-
dc.description.ros2013-2014 > Academic research: refereed > Publication in refereed journal-
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