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Investigating the change of causality in emerging property markets during the financial tsunami

  • Hui, Eddie C.M.
  • Chen, Jia
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    In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437112002269
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 391 (2012)
    Issue (Month): 15 ()
    Pages: 3951-3962

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    Handle: RePEc:eee:phsmap:v:391:y:2012:i:15:p:3951-3962
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    1. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291.
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    4. Eddie Chi-Man Hui & Ivan Ng & Otto Muk-Fai Lau, 2011. "Speculative bubbles in mass and luxury properties: an investigation of the Hong Kong residential market," Construction Management and Economics, Taylor & Francis Journals, vol. 29(8), pages 781-793, July.
    5. Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR).
    6. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
    7. 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, vol. 32(3), pages 253-274, May.
    8. Sanders, Anthony, 2008. "The subprime crisis and its role in the financial crisis," Journal of Housing Economics, Elsevier, vol. 17(4), pages 254-261, December.
    9. Quigley, John M., 2001. "Real Estate and the Asian Crisis," Journal of Housing Economics, Elsevier, vol. 10(2), pages 129-161, June.
    10. Edwards, Sebastian & Susmel, Raul, 2001. "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, vol. 66(2), pages 505-532, December.
    11. David Crosthwaite, 2000. "The global construction market: a cross-sectional analysis," Construction Management and Economics, Taylor & Francis Journals, vol. 18(5), pages 619-627.
    12. Eddie Chi Man Hui & Qi Gu, 2009. "Study of guangzhou house price bubble based on state‐space model," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 13(4), pages 287-298, September.
    13. Foote, Christopher L. & Gerardi, Kristopher & Goette, Lorenz & Willen, Paul S., 2008. "Just the facts: An initial analysis of subprime's role in the housing crisis," Journal of Housing Economics, Elsevier, vol. 17(4), pages 291-305, December.
    14. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
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