Co-movement and Forecasting Analysis of Major Real Estate Markets by Wavelet Coherence and Multiple Wavelet Coherence

Karataş, Cengiz; Ünal, Gazanfer; Yilmaz, Adil

doi:10.1142/s2345748117500105

Cited by 7 publications

(1 citation statement)

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“…Their findings suggest that the three markets of Greater China are integrated among each other and less integrated with the US markets, which can be justified by their closer economic ties and geographical closeness. Karatas et al (2017) used wavelet coherence test which confirmed the relationship among the real estate markets for USA, Hong Kong of China, Canada, Japan and developed Europe. Another research done by Chen et al (2020) used data from the Chinese as well as the American real estate market and found that the correlation between securities of China and America is negative in terms of their efficiency and complexity.…”

Section: Brief Literature Reviewmentioning

confidence: 97%

Dynamic co-movement and interdependency among real estate index in China: a multi-scale multiple correlation analysis

Khalfaoui

Tiwari

Alqahtani³

et al. 2021

IJHMA

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Purpose This study aims to investigate the dynamic co-movement and interconnection among 69 security investment indices in China using the multi-time scale framework. Design/methodology/approach The authors first use the multiple coherence analysis method to exhibit the degree of relationships among the variables under study. In addition, the wavelet multiple correlation and wavelet multiple cross-correlation analyses are used to examine the time-frequency synchronization interdependence structure among the variables. Findings From the empirical findings, one may infer less opportunity for portfolio diversification at higher time scales. Obviously, at these scales, the authors find that the 69 Chinese investment indices generate a simple security investment class, as indicated by higher interconnection between the indices. Research limitations/implications Further research can increase the sample size to re-investigate the empirical relationship for security investment indices. Practical implications In the nutshell, the results demonstrate the potential for Chinese investors to invest in security investment indices to earn from portfolio diversification at lower time frequencies. The Chinese investment market indices under study yield further opportunities of portfolio diversification toward the short-term investors than the long-term investors. Originality/value To the best of the authors’ knowledge, this is the first paper to examine the dynamic co-movement and interconnection for security investment indices in China.

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Section: Brief Literature Reviewmentioning

confidence: 97%