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Is There a Bubble in Saudi Real Estate? Evidence from the Stock Market

Hakim, Sam - 2012

For most of the past decades, the Gulf Cooperation Council (GCC) region has experienced rapid expansion, driven largely by increasing energy revenues, and growth-focused government policies. As the region's population increases in size, and becomes wealthier and more urbanized, significant...

Persistent link: https://www.econbiz.de/10013102716

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

Asset price bubbles : existence, persistence and migration

Gómez González, José Eduardo; Ojeda-Joya, Jair N.; … - In: The South African journal of economics 85 (2017) 1, pp. 52-67

Persistent link: https://www.econbiz.de/10011667418

How did the asset markets change after the Global Financial Crisis?

Chang, Kuang-Liang; Leung, Charles Ka Yui - 2021

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market...

Persistent link: https://www.econbiz.de/10012488927

Bubble contagion : evidence from Japan's asset price bubble of the 1980-90s

Hu, Yang; Oxley, Les - 2017

Persistent link: https://www.econbiz.de/10011772141

Commercial Real Estate and Equity Market Bubbles : Are they Contagious to REITs?

Nneji, Ogonna - 2013

real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the … existence of periodically partially collapsing speculative bubbles in all three markets. We then develop and implement a … multivariate bubble model to evaluate whether the stock and real estate bubbles spill over into REITs. We find the underlying stock …

Persistent link: https://www.econbiz.de/10013092851

Signaling Asset Price Bubbles with Time-Series Methods

Taipalus, Katja - 2012

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …

Persistent link: https://www.econbiz.de/10013111338

Interaction of Housing Market and Stock Market in the U.S. - A Markov Switching Approach

Chiang, Ming Chu - 2019

This paper uses the Markov Switching VAR model to examine the dynamics relationships between stock returns and housing returns in the US covering the periods from 1987 to 2017. The results show significant regime-dependent auto-correlations in stock and housing returns in both the high...

Persistent link: https://www.econbiz.de/10012900632

Interactions between housing market and stock market in the United States : a Markov switching approach

Chiang, Ming-Chu; Sing, Tien-foo; Wang, Long - In: Journal of real estate research : JRER ; a publication … 42 (2020) 4, pp. 552-571

Persistent link: https://www.econbiz.de/10012414465

Effects of capital flow on the equity and housing markets in Hong Kong

Cheung, Yin-Wong; Chow, Kenneth K.; Yiu, Matthew S. - 2017

Persistent link: https://www.econbiz.de/10012201180

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