This study applies OLS, panel regression and Granger causality test to investigate the impact of the Coronavirus disease 2019 (Covid-19) outbreak on the global equity markets during the early stage of the pandemic. We find that the Covid-19 outbreak has a significant negative impact on the...

<title>ABSTRACT</title> The aim of this paper is to investigate the contagion across real estate markets of four countries: Hong Kong, China, U.S. and U.K., during the financial tsunami in 2008. We use the Forbes-Rigobon test, the coskewness test and the cokurtosis test. We propose a new cokurtosis test...

Standard methods of testing contagion may not work well if the data set is not normally distributed. To cope with this problem, Hatemi-J and Hacker (2005) proposed a new case-resampling bootstrap method to test contagion. In this paper, we extend this method to test the parameters in the...

This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well...

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. (2015b) incorporate Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed...