Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 391, Issue 15, Pages 3951-3962Publisher
ELSEVIER
DOI: 10.1016/j.physa.2012.03.007
Keywords
Financial crisis; Emerging real estate stock markets; Multivariate cumulate sum; Renormalized partial directed coherence
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Funding
- Hong Kong Polytechnic University [G-YH96, Z02Z, G-YK32]
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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. (C) 2012 Elsevier B.V. All rights reserved.
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