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Do securitized real estate markets jump? : international evidence
Li, Jie; Li, Guangzhong; Zhou, Yinggang - In: Pacific-Basin finance journal 31 (2015), pp. 13-35
Persistent link: https://www.econbiz.de/10011471503
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Do Securitized Real Estate Markets Jump? International Evidence
Li, Jie - 2014
We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...
Persistent link: https://www.econbiz.de/10013044490
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Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?
Liow, Kim Hiang - 2013
We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over … the past 15 years, 1995-2009, using an econometric model that incorporates common volatility effects across the sample … markets. The empirical results indicate the presence of at least one common variance component, and thus partial volatility …
Persistent link: https://www.econbiz.de/10013077414
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Regime dependent volatilities and correlation in international securitized real estate markets
Liow, Kim Hiang; Ye, Qing - In: Empirica : journal of european economics 45 (2018) 3, pp. 457-487
Persistent link: https://www.econbiz.de/10012031221
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Price and volatility dynamics between securitized real estate spot and futures markets
Shi, Jing; Xu, Pisun - In: Economic modelling 35 (2013), pp. 582-592
Persistent link: https://www.econbiz.de/10010336748
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Does the jump risk in the US market matter for Japan and Hong Kong? : an investigation on the REIT market
He, Chi-Wei; Chang, Kuang-Liang; Wang, Yung-Jang - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436527
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A range-based volatility approach to measuring volatility contagion in securitized real estate markets
Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic modelling 45 (2015), pp. 223-235
Persistent link: https://www.econbiz.de/10011334089
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Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration
Schindler, Felix; Voronkova, Svitlana - 2010
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...
Persistent link: https://www.econbiz.de/10008652070
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Correlation Dynamics and Determinants in International Securitized Real Estate Markets
Liow, Kim Hiang - 2014
volatility, co-existence of REIT influence, underlying direct real estate return performance differential, real estate securities … volatility differential and real estate securities market size differential after controlling for macroeconomic influence and …
Persistent link: https://www.econbiz.de/10013052882
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Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets?
Hui, Eddie - 2018
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...
Persistent link: https://www.econbiz.de/10012920153