No abstract

No abstract

No abstract

This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the Us during the 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 nonconstant variance. Additional channels of contagion may also be detected to reflect a more precise pattern of contagion. In contrast to Hatemi-J and Hacker, Applied Financial Economics Letters, 1(6), 343-347(2005)'s result, we find thatthe case-resampling bootstrap method diminishes the overall effect of contagion. In particular, no additional channels of contagion can be found when the caseresampling bootstrap method is applied on the coskewnesstest, but when the caseresampling 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 securitized real estate markets. This study has useful implications to investors, regulators and policy makers. Keywords Contagion. Coskewness test. Cokurtosis test. Case-resampling bootstrap methodThis is the Pre-Published Version.

The "buy-and-hold" strategy based on the EMH has been adopted by many investors for long. However, the global financial crisis in 2008 caused more doubt to be cast on EMH. Therefore, many scholars have attempted to create a trading strategy which can outperform the "buy-and-hold" strategy. In this study, we use the Shiryaev-Zhou index to derive a new generalized time-dependent strategy of which the moving-window size can be changed to see how the moving-window size affects the resulting profit of our strategy. We test our strategy on the securitized real estate and general equity indices of six economies, and find the optimal moving-window size for our strategy on each stock index. The results show that when the optimal moving-window size is used, our strategy outperforms the "buy-and-hold" strategy for most cases. Furthermore, during stock market downturns, it's advisable to adopt our strategy, preferably with larger moving-window sizes, to prevent losses when the stock prices fall rapidly. However, during long periods of booms, it's better to adhere to the "buy-and-hold" strategy. This implies that we should switch strategies when market fundamentals changes significantly. Property practitioners can also apply this strategy for a better portfolio management to increase their profit.Keywords: Shiryaev-Zhou index, "Buy-and-hold", moving-window size, transaction cost, securitized real estate index. Zhou index to develop a new time-dependent trading strategy with a variable moving-window size, which was then applied on a number of securitized real estate indices and general equity indices. We make this comparison because the real estate market has become more and more important recently, especially in Hong Kong and U.S. The property sector (i.e. Hang Seng Property Index)International Journal of Strategic Property Management