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http://hdl.handle.net/10397/95900
Title: | Is there really any contagion among major equity and securitized real estate markets? Analysis from a new perspective | Authors: | Hui, ECM Chan, KKK |
Issue Date: | May-2018 | Source: | Journal of real estate finance and economics, May 2018, v. 56, no. 4, p. 567-586 | 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. | Keywords: | Case-resampling bootstrap method Cokurtosis test Contagion Coskewness test |
Publisher: | Springer | Journal: | Journal of real estate finance and economics | ISSN: | 0895-5638 | EISSN: | 1573-045X | DOI: | 10.1007/s11146-016-9580-1 | Rights: | © Springer Science+Business Media New York 2016 This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use(https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/s11146-016-9580-1. |
Appears in Collections: | Journal/Magazine Article |
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Hui_There_Really_Any.pdf | Pre-Published version | 1.13 MB | Adobe PDF | View/Open |
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