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Testing stock market efficiency from spillover effect of Panama leaks

Nasir, Adeel; Gherghina, Stefan Cristian; Mata, Mário Nuno - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-23

. The study analyses the effects of Panama leak events on five stock exchanges to ensure the market efficiency and investor … perception related to the Panama leaks. Event study methodology is used on five occasions associated with Panama papers, i … resignation of the Spanish Minister of Industry on 15 April 2016, the 450 personalities of Pakistan that were nominated in Panama …

Persistent link: https://www.econbiz.de/10012821618

Testing for causality-in-mean and variance between the UK housing and stock markets

Toyoshima, Yuki - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...

Persistent link: https://www.econbiz.de/10011856853

Housing market bubbles and mortgage contract design : implications for mortgage lenders and households

Poitras, Geoffrey; Zanotti, Giovanna - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-18

This paper explores the implications of a housing market bubble for three critical elements of mortgage contract design: difference between term to maturity and amortization period; prepayment options; and, lender recourse in the event of default. Using an extension of classical immunization...

Persistent link: https://www.econbiz.de/10011895725

Bidding behavior in the housing market under different market regimes

Olaussen, Jon Olaf; Oust, Are; Sønstebø, Ole Jakob - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13

The aim of this paper is to investigate whether different market regimes affect bidding behavior in housing auctions. Taking advantage of special circumstances in the Norwegian housing market in 2015 and 2016, we conduct a survey involving 1803 respondents in three of Norway’s largest cities,...

Persistent link: https://www.econbiz.de/10011895729

Bank credit and housing prices in China : evidence from a TVP-VAR Model with stochastic volatility

He, Xie; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-16

Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China’s housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic...

Persistent link: https://www.econbiz.de/10011960388

Risk assessment of housing market segments : the lender's perspective

Wilhelmsson, Mats; Zhao, Jianyu - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-13

It is well known that risk factors influence how investment portfolios perform from a lender’s perspective; therefore, a thorough risk assessment of the housing market is vital. The aim of this paper was to analyze the risks from housing apartments in different housing market segments by using...

Persistent link: https://www.econbiz.de/10011961288

Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in...

Persistent link: https://www.econbiz.de/10011961522

Testing housing markets for episodes of exuberance : evidence from different Polish cities

Sobieraj, Janusz; Metelski, Dominik - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-29

In the study we use the right-tail unit root test to analyse the presence of mild explosive dynamics (exuberance) in housing prices of the 17 largest Polish cities in the period 2006-2021 (for quarterly data). In terms of real prices from the secondary market, we were able to demonstrate the...

Persistent link: https://www.econbiz.de/10012628269

Anchoring and asymmetric information in the real estate market : a machine learning approach

Cheung, Ka Shing; Chan, TszKin Julian; Li, Sijie; Yiu, … - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-22

Conventional wisdom suggests that non-local buyers usually pay a premium for home purchases. While the standard contract theory predicts that non-local buyers may pay such a price premium because of the higher cost of gathering information, behavioral economists argue that the premium is due to...

Persistent link: https://www.econbiz.de/10012628358

Urban leverage and housing price in China

Lu, Wanying; Shen, Jianfu - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-12

This paper examines whether urban leverage, defined by the bank loan-to-deposit ratio in a city, affects housing prices in China. Using a panel dataset of 236 cities and hedonic models, we find a depressing effect of urban leverage on housing price in first- and second-tier cities while leaving...

Persistent link: https://www.econbiz.de/10012872792