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The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods

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  • Abdulnasser Hatemi-J
  • Eduardo Roca

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File URL: https://www120.secure.griffith.edu.au/research/items/cfb910d5-4dd1-4d29-a1ad-0e715f9ec44f/1/2010-03-the-impact-of-the-us-real-estate-market-on-other-major-markets.pdf
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Bibliographic Info

Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201003.

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Date of creation: Mar 2010
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Handle: RePEc:gri:fpaper:finance:201003

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Related research

Keywords: Contagion; Case-resampling Bootstrap; Dependency; Real Estate;

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References

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  1. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(1), pages 3-26, February.
  2. Glick, Reuven & Rose, Andrew K., 1999. "Contagion and trade: Why are currency crises regional?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 603-617, August.
  3. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 361-407.
  4. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
  5. Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(4), pages 353-366, September.
  6. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
  7. Bond, Shaun A & Patel, Kanak, 2003. "The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 26(2-3), pages 319-39, March-May.
  8. David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc.
  9. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(3), pages 423-437.
  10. La Porta, Rafael & Lopez-de-Silanes, Florencio & Schleifer, Andrei & Vishny, Robert, 2001. "Investor Protection and Corporate Governance," Working Paper Series, Harvard University, John F. Kennedy School of Government rwp01-017, Harvard University, John F. Kennedy School of Government.
  11. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers, International Monetary Fund 09/104, International Monetary Fund.
  12. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 537-560, August.
  13. Reinhart, Carmen & Calvo, Sara, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?”," MPRA Paper 7124, University Library of Munich, Germany.
  14. Scott Hacker & Abdulnasser Hatemi-J, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components, Boston College Department of Economics G00007, Boston College Department of Economics.
  15. Mico Loretan & William B. English, 2000. "Evaluating "correlation breakdowns" during periods of market volatility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 658, Board of Governors of the Federal Reserve System (U.S.).
  16. Paul S. Mills & John Kiff, 2007. "Money for Nothing and Checks for Free," IMF Working Papers, International Monetary Fund 07/188, International Monetary Fund.
  17. Camilo SERRANO & Martin HOESLI, . "Global Securitized Real Estate Benchmarks and Performance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 08-39, Swiss Finance Institute.
  18. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 32(3), pages 253-274, May.
  19. Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  20. Abdulnasser Hatemi-J & R. Scott Hacker, 2005. "An alternative method to test for contagion with an application to the Asian financial crisis," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 1(6), pages 343-347, November.
  21. Masson, Paul, 1999. "Contagion:: macroeconomic models with multiple equilibria," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 587-602, August.
  22. Pretorius, Anmar & de Beer, Jesse, 2004. "Contagion in Africa: South Africa and a troubled neighbour, Zimbabwe," Economic Modelling, Elsevier, Elsevier, vol. 21(4), pages 703-717, July.
  23. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(8), pages 539-546.
  24. Forbes, Kristin J., 2004. "The Asian flu and Russian virus: the international transmission of crises in firm-level data," Journal of International Economics, Elsevier, Elsevier, vol. 63(1), pages 59-92, May.
  25. Giovanni Dell'Ariccia & Luc Laeven & Deniz Igan, 2008. "Credit Booms and Lending Standards," IMF Working Papers, International Monetary Fund 08/106, International Monetary Fund.
  26. Jokipii, Terhi & Lucey, Brian, 2007. "Contagion and interdependence: Measuring CEE banking sector co-movements," Economic Systems, Elsevier, Elsevier, vol. 31(1), pages 71-96, March.
  27. Sarai Criado & Adrian van Rixtel, 2008. "Structured finance and the financial turmoil of 2007-2008: and introductory overview," Banco de Espa�a Occasional Papers 0808, Banco de Espa�a.
  28. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  29. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(2), pages 247-292, November.
  30. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, American Finance Association, vol. 56(4), pages 1401-1440, 08.
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