Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 564, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2020.125474
Keywords
Securitized real estate; Case-resampling bootstrap method; Median; Interquartile mean; Diversification
Categories
Funding
- PolyU Internal Research, Hong Kong Grants [G-YBJL, G-YBQ8]
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The study explores contagion among securitized real estate and general equity indices of various countries post-Brexit, finding less significant evidence of contagion using the case-resampling bootstrap method. Using the interquartile mean as an estimator further reduces the contagion effect, with Western economies experiencing larger effects compared to Asian economies. Additionally, contagion is more pronounced in general equity markets than in securitized real estate markets.
This study investigates contagion among securitized real estate and general equity indices of the U.K., France, Germany, the U.S., Hong Kong and Japan, after the Brexit referendum in June 2016. We combine the case-resampling bootstrap method with the coskewness and cokurtosis test, and apply a new approach by taking the interquartile mean as the estimator. The interquartile mean has advantages over both mean and median that it is insensitive to outliers and is a distinct parameter based on a large number of observations from the dataset. The case-resampling bootstrap method shows less significant evidence of contagion than the normal methods do. If we take the interquartile mean as the estimator, the effect of contagion is further diminished when compared with the method of taking the median as the estimator. Moreover, the effect of contagion is larger on the western economies than on the Asian economies, and there is more significant evidence of contagion on the general equity markets than on the securitized real estate markets. This has an important implication to investors that they should diversify their portfolio to reduce risk. (C) 2020 Elsevier B.V. All rights reserved.
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