This paper investigates the dynamic conditional correlations (DCCs) between housing returns and retail property returns, and the existence of volatility spillover between the two property markets of Hong Kong. Two multivariate stochastic volatility models (MSV), namely Granger causality MSV and...

Purpose – The purpose of this paper is to explore the long‐run relation and short‐run dynamic correlations between consumption expenditure and household wealth, namely housing wealth and stock wealth. Design/methodology/approach – This paper adopts aggregate time‐series data over the...

This article proposes a new model to measure the risk appetite in absence of option prices. Without options transaction, traditional measurements cannot be made. This article establishes a Risk Appetite (RA) indicator by way of change measure and simulation, with two density functions, i.e....

Purpose – The purpose of this paper is to investigate the risk appetite in Hong Kong real estate and property security markets in the recent episode of global financial crisis. Design/methodology/approach – An advanced methodology developed from the previous risk appetite measurement and...