Investigating the change of causality in emerging property markets during the financial tsunami
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 391 (2012)
Issue (Month): 15 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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).
- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
NBER Working Papers
7267, National Bureau of Economic Research, Inc.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- 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.
- David Crosthwaite, 2000. "The global construction market: a cross-sectional analysis," Construction Management and Economics, Taylor & Francis Journals, vol. 18(5), pages 619-627.
- Sebastian Edwards & Raul Susmel, 2001.
"Volatility Dependence and Contagion in Emerging Equity Markets,"
NBER Working Papers
8506, National Bureau of Economic Research, Inc.
- 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.
- Quigley, John M., 2001.
"Real Estate and the Asian Crisis,"
Journal of Housing Economics,
Elsevier, vol. 10(2), pages 129-161, June.
- Quigley, John M., 2002. "Real Estate and the Asian Crisis," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4f4951b0, Berkeley Program on Housing and Urban Policy.
- 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.
- William Goetzmann & Philippe Jorion, 1998.
Yale School of Management Working Papers
ysm50, Yale School of Management, revised 01 Aug 2000.
- 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.
- 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.
- Reinhart, Carmen M. & Rogoff, Kenneth S., 2008.
"Is the 2007 US Sub-Prime Financial Crisis So Different? An International Historical Comparison,"
11129156, Harvard University Department of Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(3), pages 291-299, September.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "Is the 2007 US Sub-prime Financial Crisis So Different? An International Historical Comparison," American Economic Review, American Economic Association, vol. 98(2), pages 339-44, May.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison," NBER Working Papers 13761, National Bureau of Economic Research, Inc.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:391:y:2012:i:15:p:3951-3962. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.