This paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive...

We highlight the loss-averse property of general investors and propose a new ranking criterion, conditional stochastic dominance (CSD), at the first two orders. We discuss the definitions and propositions. We also introduce an example to show that CSD provides intuitive ranking but not the...

This paper contributes to apply the time-varying symmetrized Joe-Clayton copula to study the dynamic linkage among possible safe haven assets in the international major markets over the past 34 years. We re-examine four major asset types (long-term government bond, equity index, oil, and gold)...