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Is There Really Any Contagion Among Major Equity And Securitized Real Estate Markets
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Book Synopsis Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets? by : Eddie Hui
Download or read book Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets? written by Eddie Hui and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well on data with a non-normal distribution or non-constant variance. Additional channels of contagion may also be detected to reflect a more precise pattern of contagion. In contrast to Hatemi-J and Hacker (2005)'s result, we find that the case-resampling bootstrap method diminishes the overall effect of contagion. In particular, no additional channels of contagion can be found when the case-reasampling bootstrap method is applied on the coskewness test, but when the case-resampling bootstrap method is applied on the cokurtosis test, additional channels of contagion are detected. Furthermore, the overall effect of contagion is greater on the general equity markets than on the securitezed real estate markets. This study has useful implications to investors, regulators and policy makers.
Book Synopsis FINANCIAL CONTAGION & HERDING by : Jing Xue
Download or read book FINANCIAL CONTAGION & HERDING written by Jing Xue and published by Open Dissertation Press. This book was released on 2017-01-26 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Financial Contagion and Herding Behavior: Evidence From the Stock and Indirect Real Estate Markets" by Jing, Xue, 薛晶, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Financial contagion, in this study, refers to spreading of crisis across markets in different locations. The observable consequence is usually in the form of increase in co-movement of asset prices in two markets after a crisis event. The causes of financial contagion have been studied for over twenty years, however, up till now, results have been mixed. One unsettled issue is whether market fundamentals alone can explain financial contagion. Pure fundamental based explanation suggests that the financial, economic and trade linkages are solely responsible for the transmission of crisis across markets. On the other hand, the behavioral finance researchers propose that herding behavior also plays an important role in explaining financial contagion. This issue cannot be easily resolved since it is difficult to empirically distinguish linkage effect and herding behavior. This thesis contributes to this unresolved issue by examining financial contagion in the stock market and indirect real estate market. In the stock market, both fundamental linkages and herding are likely to exist. However some securities are less prone to herding than others. Herding across international markets is likely to be less serious when there is less information asymmetry between investors and management. In addition, compared with foreign investors, local investors are more confident in the link between market fundamentals and the corresponding securities. Real Estate Investment Trusts (REITs) are likely to suffer from less information asymmetry problem since the REITs market has more stringent regulatory requirements for information disclosure. Furthermore, the pricing of real estate asset, the main type of assets held by the REITs, often requires local knowledge. Local investors investing in REITs are less likely to mimic the investor behavior in another overseas REITs market. Listed property companies also share some similarities with REITs, although they are less immune to herding compared with REITs as information disclosure is less stringent for listed property companies. Since the asset prices of real estate are affected by the economic performance, fundamental linkages amongst all indirect real estate still likely to exist and are similar to other types of listed companies. If market fundamental is the only source of financial contagion (i.e. no herding), financial contagion in the global stock and indirect real estate markets should be similar. This thesis uses the 2008 global financial crisis (GFC) as the crisis event to examine financial contagion across the world's major equity markets. Our empirical results show that financial contagion is stronger in the entire stock markets than in the indirect real estate markets and that financial contagion is the weakest in the REITs markets, which support the herding behavior hypothesis and reject the pure fundamental explanation. This reasoning does not require indirect real estate to be totally immune from herding. All that is needed is that indirect real estate is less prone to herding compared with the common stocks. Herding behavior can be rational or irrational. The latter refers to revision of asset prices by following the pricing behavior of other markets irrespective of market fundamentals. Our empirical evidence cannot reject irrational herding behavior in the indirect real estate market since contagion effect becomes stronger wh
Book Synopsis The Impact of Contagion In Real Estate Markets by : Dersim Avdar
Download or read book The Impact of Contagion In Real Estate Markets written by Dersim Avdar and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper researches spatial contagion in the US real estate market. Its goal is to determine whether two portfolios containing different real estate investment trusts (REIT) behaved differently during the financial crisis, in a period going from 2007 to 2010. One portfolio is constituted of firms investing in concentrated regions, the other contains individually diversified REITs, and both portfolios cover the same regions on average, with a limitation to the US territory. To this end we perform a spatial regression followed by a t-test. The results of our empirical analyses show no significant difference in both portfolios during our time frame, be it regarding the spatial components of their returns or the evolution of their returns along time. This supports the idea that diversification strategies across asset classes and regions became mostly irrelevant during the crisis.
Book Synopsis Extreme Contagion in Equity Markets by : Jorge A. Chan-Lau
Download or read book Extreme Contagion in Equity Markets written by Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2002-05 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Book Synopsis Contagion Channels Between Real Estate and Financial Markets by : Martin Hösli
Download or read book Contagion Channels Between Real Estate and Financial Markets written by Martin Hösli and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interconnectedness and Contagion in International Real Estate Investment Trusts by : Kim Hiang Liow
Download or read book Interconnectedness and Contagion in International Real Estate Investment Trusts written by Kim Hiang Liow and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates interconnectedness and contagion effects of the US global financial crisis and the European debt crisis across eight longest-established real estate investment trust markets in the US, Canada, Australia, Japan, Singapore, France, Belgium and Netherlands over the period from October 2003 to December 2016. Using the connectedness indexes developed by Diebold and Yilmaz (2012, 2014 and 2016) and supplementing with selected net directional pairwise network graphs, we find their volatility connectedness was less strong than that of stock markets. Additionally, the volatility connectedness experienced a decrease of over 10% over the full sample period, implying that their slower globalization progress and lower financial integration level, as well as have different patterns of volatility connectedness from the corresponding stock markets. Volatility market connectedness was mainly caused by the cross-market contagion during unstable periods. The rolling sample analysis confirms significant market contagion effects during crises, such as Lehman Brothers Bankruptcy (GFC) and looming financial crisis in Europe (EDC), though the effects varied widely among the REIT markets. Finally, the net directional connectedness was time varying and experienced a shit in terms of net volatility shock transmitters and receivers for the markets due to different nature of crises. Our study reveals fresh evidence of interconnectedness and contagion effects across international REIT markets and indicate the importance of policy countermeasure in reacting to economic and financial crisis.
Book Synopsis Do Securitized Real Estate Markets Jump? International Evidence by : Jie Li
Download or read book Do Securitized Real Estate Markets Jump? International Evidence written by Jie Li and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jumps exist during both crisis and non-crisis periods. There is also evidence that jump intensity over time across different markets is inversely related to the degree of economic and financial integration, yet the degree of political and social integration yields no additional explanatory power beyond these two factors.
Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano
Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Book Synopsis Public Real Estate Markets and Investments by : Harold Kent Baker
Download or read book Public Real Estate Markets and Investments written by Harold Kent Baker and published by . This book was released on 2014 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate is typically classified as an alternative to more traditional investments such as stocks and bonds. Real estate investing involves the purchase, ownership, management, rental, or sale of real estate for profit. Real estate investments can be both income producing and non-income producing. Although real estate can produce income like a bond and appreciate like a stock, this tangible asset has several unique characteristics as well as advantages and disadvantages relative to other investment alternatives. Benefits of including real estate in a portfolio include diversification, yield enhancement, risk reduction, tax management, and inflation hedging. Unlike traditional investments, investors in real estate have the ability to influence performance. Real estate has drawbacks in that it requires management, is costly and difficult to buy, sell, and operate, and sometimes has lower liquidity. Additionally, measuring the relative performance of real estate can be challenging. The purpose of this 14-chapter book is to provide an overview and synthesis of public real estate markets and investments in a global context. The book discusses the major types and the latest trends within public real estate markets and presents the results of research studies in a straightforward manner. It has three sections: (1) foundations of public real estate, (2) public debt markets and investments, and (3) public equity markets and investments. The book should be interest to various groups including academics, practitioners, investors, and students. Readers should gain a greater appreciation of what is needed for success when investing in public real estate markets. For more information about private real estate, read Private Real Estate Markets and Investments.
Book Synopsis Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets by : Kim Hiang Liow
Download or read book Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US market, from January 12, 1995 through Jun 23, 2016. The empirical results indicate that both the co-movement relationship and sector's systematic risk are time-varying and heterogeneous at different scales. We find that diversification opportunities among the real estate markets are diminishing during the two major crises, as scale increases. Moreover, the systematic risk (beta) coefficients of the real estate markets increase during the global financial crisis period and become more stable at lower frequencies. Finally, local stock market returns provide a better proxy of market portfolio for the domestic real estate markets than global stock returns. Our results highlight the importance of considering both time and scale-varying features in co-movement relationship and systematic risk assessment in Asian securitized real estate markets.
Book Synopsis Asset Markets Contagion During the Global Financial Crisis by : Dimitris Kenourgios
Download or read book Asset Markets Contagion During the Global Financial Crisis written by Dimitris Kenourgios and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the US dollar indices, and the existence of a flight to quality mechanism from risky US assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.
Book Synopsis Stock Price Dynamics of US REITs by : Nick Martin Trefz
Download or read book Stock Price Dynamics of US REITs written by Nick Martin Trefz and published by Springer Nature. This book was released on 2023-01-01 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: By adopting the ‘REIT laboratory’ and incorporating REIT-specific Fama-French factors, Nick Martin Trefz builds the foundation to appropriately isolate the parameters of interest and to transparently investigate the areas of interest (Short Selling, Covid-19, and ESG) throughout the chapters in this book. He finds that short selling activity measured by short interest correlates with positive excess returns, and that low short interest portfolios have positive and statistically significant alphas. He further identifies that during the Covid-19 pandemic the sources of spillovers among US real estate sectors remain constant compared to before Covid-19. Lodging can be identified as a source of total return as well as tail risk, and Office can be considered a source of volatility. Lastly, he shows that ESG ratings do not affect returns during Covid-19. However, higher ESG ranked REITs show significantly lower volatility during Covid-19.
Book Synopsis Financial Contagion and Herding Behavior by : 薛晶
Download or read book Financial Contagion and Herding Behavior written by 薛晶 and published by . This book was released on 2013 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Contagion and Herding Behavior by : Jing Xue (M. Phil.)
Download or read book Financial Contagion and Herding Behavior written by Jing Xue (M. Phil.) and published by . This book was released on 2013 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Contagion in Equity Markets by : Jorge A. Chan-Lau
Download or read book Extreme Contagion in Equity Markets written by Jorge A. Chan-Lau and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Book Synopsis Financial Contagion and Liquidity in Real Estate Markets by : Kustrim Reka
Download or read book Financial Contagion and Liquidity in Real Estate Markets written by Kustrim Reka and published by . This book was released on 2014 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment Publisher : ISBN 13 : Total Pages :88 pages Book Rating :4.:/5 (327 download)
Book Synopsis Securitization of Assets by : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment
Download or read book Securitization of Assets written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment and published by . This book was released on 2010 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
