Please use this identifier to cite or link to this item:
Title: Is there really any contagion among major equity and securitized real estate markets? Analysis from a new perspective
Authors: Hui, ECM 
Chan, KKK 
Keywords: Contagion
Coskewness test
Cokurtosis test
Case-resampling bootstrap method
Issue Date: 2018
Publisher: Springer
Source: Journal of real estate finance and economics, May 2018, v. 56, no. 4, p. 567-586 How to cite?
Journal: Journal of real estate finance and economics 
Abstract: This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during the Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well on data with a non-normal distribution or non-constant variance. Additional channels of contagion may also be detected to reflect a more precise pattern of contagion. In contrast to Hatemi-J and Hacker, Applied Financial Economics Letters, 1(6), 343-347 (2005)'s result, we find that the case-resampling bootstrap method diminishes the overall effect of contagion. In particular, no additional channels of contagion can be found when the case-resampling bootstrap method is applied on the coskewness test, but when the case-resampling bootstrap method is applied on the cokurtosis test, additional channels of contagion are detected. Furthermore, the overall effect of contagion is greater on the general equity markets than on the securitized real estate markets. This study has useful implications to investors, regulators and policy makers.
ISSN: 0895-5638
EISSN: 1573-045X
DOI: 10.1007/s11146-016-9580-1
Appears in Collections:Journal/Magazine Article

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

Page view(s)

Citations as of Nov 12, 2018

Google ScholarTM



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