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Recent studies have documented an asymmetry in the market-beta of equity Real Estate Investment Trusts (REITs) based on high and low Gross Domestic Product (GDP) growth states, as well as in bull and bear stock markets. The asymmetry has been deemed a puzzle (Chatrath <italic>et al</italic>., 2000; Chiang <italic>et al</italic>.,...
Persistent link: https://www.econbiz.de/10010970688
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Numerous studies have explained the significant correlation between monetary policies and asset pricing bubbles. This study uses data on the overall UK housing market and the five UK regions with the highest house prices to evaluate the correlation between monetary policies and pricing bubbles...
Persistent link: https://www.econbiz.de/10011265000
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In the literature on microeconomics regarding tenure choice documentation, house price is usually viewed as one of the most important parameters. Taiwan experienced very dramatic real estate cycles in the past several decades. However, the homeownership rates looked quite stable and consistently...
Persistent link: https://www.econbiz.de/10010834212
Previous studies commonly use a linear framework to investigate the long-run equilibrium relationship between the housing and stock markets. The linear approaches may not be appropriate if adjustments from disequilibrium are asymmetric in both markets. Nonlinear adjustments are likely to be...
Persistent link: https://www.econbiz.de/10010867021
Previous studies have discovered the defensive characteristics of housing prices, which is also known as downward price rigidity. This paper discusses whether this feature would result in an asymmetric relationship between housing prices and monetary policy. This paper first uses the loss...
Persistent link: https://www.econbiz.de/10010636279
In 2007, a number of stock funds and Real Estate Investment Trusts (REITs) tended to invest in Asian markets due to their outstanding performance during the period prior to 2006. However, can this move increase the covariate between the stock and REIT markets in Asian markets as well as further...
Persistent link: https://www.econbiz.de/10008492959
The purpose of this research is to examine the information content of order imbalances, an important variable in representing trading activity. The Taiwan Stock Exchange launched limited after-hours trading, in which investors can only trade at the closing price of the normal trading hours....
Persistent link: https://www.econbiz.de/10008498688
This article analyses investment risk in the housing market by examining volatility properties of house prices for the UK. We use both ARCH and GARCH models to estimate price conditional heteroscedasticity and find evidence of a time-varying property in the volatilities of the house price...
Persistent link: https://www.econbiz.de/10008498827