Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/68979
Title: Testing calendar effects of international equity and real estate markets
Authors: Hui, CM 
Chan, KKK 
Keywords: Halloween effect
January effect
Shiryaev-Zhou index
Securitized real estate index
Moving-window size
Issue Date: 2016
Publisher: Springer
Source: Journal of real estate finance and economics, 2016, p. 1-19 How to cite?
Journal: Journal of real estate finance and economics 
Abstract: There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. Habitat International 48, 38–45, (2015b) incorporated Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed the moving-window size to be 130 days. How the change in moving-window size affects the calendar effects cannot be seen. In this study, we also apply the Shiryaev-Zhou index, but we allow the moving-window size to vary. Furthermore, we incorporated Shiryaev-Zhou index with analysis of mean (ANOM) and logistic regression to examine calendar effects of general equity and securitized real estate indices of Hong Kong, Japan, US, UK, France and Germany during the period 1996 – 2014. The results show that our new methods can detect additional channels of significant calendar effects of which normal methods fail to show. Furthermore, the general equity indices show significant Halloween and January effects. However, for the securitized real estate indices, the Halloween and January effects are less significant or even go into reverse in some cases. This study has two main implications. Firstly, investors can formulate a better trading strategy to earn more profits. Secondly, trends and phenomena found in equity markets may not be applicable to real estate markets, so investment rules on equity markets may not work on real estate markets.
URI: http://hdl.handle.net/10397/68979
ISSN: 0895-5638
EISSN: 1573-045X
DOI: 10.1007/s11146-016-9564-1
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page view(s)

5
Checked on Nov 20, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.