期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 405, 期 -, 页码 216-225出版社
ELSEVIER
DOI: 10.1016/j.physa.2014.03.008
关键词
Contagion; Coskewness; Cokurtosis; Real estate; Financial crisis
资金
- PolyU Internal Research Grants (PolyU Internal Research) [G-YH96, Z02Z, 4-ZZC8]
This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes-Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US's equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis. (C) 2014 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据