Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/8330
Title: Investigating the change of causality in emerging property markets during the financial tsunami
Authors: Hui, ECM 
Chen, J
Keywords: Emerging real estate stock markets
Financial crisis
Multivariate cumulate sum
Renormalized partial directed coherence
Issue Date: 2012
Publisher: North-Holland
Source: Physica A. Statistical mechanics and its applications, 2012, v. 391, no. 15, p. 3951-3962 How to cite?
Journal: Physica A. Statistical mechanics and its applications 
Abstract: In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.
URI: http://hdl.handle.net/10397/8330
ISSN: 0378-4371
EISSN: 1873-2119
DOI: 10.1016/j.physa.2012.03.007
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