Market Efficiency of US REITs: A Revisit

Ryu, Inug; Jang, Hongje; Kim, Dongshin; Ahn, Kwangwon

doi:10.1016/j.chaos.2021.111070

Cited by 16 publications

(4 citation statements)

References 52 publications

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“…The method is established for a simple system and claims in other areas of economics are discussed. Ryu (2021) [10] looked at the weak-form efficient market theory because the log price series for REIT stocks for US REIT equities, contradicted the random walk theory as a model specification, the variance ratio test revealed that the general stock market and REIT markets were not efficient in the weak-form. Instead, he used the quantum harmonic oscillator to present definite evidence.…”

Section: Literature Reviewmentioning

confidence: 99%

Measuring value at risk of cryptocurrency using quantum harmonic oscillator

Bhatt¹,

Gor²

2023

Int. J. Stat. Appl. Math.

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Cryptocurrency, also known as crypto is a type of digital currency that operates as an exchange mechanism over a computer network and is not supported or maintained by any governing authority. Compared to other equities and bonds, the price of crypto-currencies is highly volatile in nature. Its fluctuations are highly influenced by supply and demand, sentiments of investors and media hype. This paper introduces quantum harmonic oscillator model to measure the value at risk for the fix amount of investment to identify the maximum risk behaviour of cryptocurrency.

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Section: Literature Reviewmentioning

confidence: 99%

Measuring value at risk of cryptocurrency using quantum harmonic oscillator

Bhatt¹,

Gor²

2023

Int. J. Stat. Appl. Math.

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“…The notes in a song are analyzed through a mean-reverting process, in particular using the Vasicek model [4][5][6][7][8], which is a one-factor model widely adopted to describe the interest rate movements in finance. According to this model, the progression of a note at time 𝒕 is defined as…”

Section: Theoretical Frameworkmentioning

confidence: 99%

A Stochastic Process for Music: The Example of K-pop Music

Park

Kim

Ahn

2022

J. Phys.: Conf. Ser.

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This study analyzes music using a stochastic process, particularly, the Vasicek model. This approach interprets note progression in a song as a mean-reverting process, allowing the estimation of three parameters such as the speed of the revision to the mean, long-term level of the mean, and volatility. In addition, the entropy is evaluated for each song to identify the randomness of rise–fall patterns for each music genre. Our results characterize certain types of music and could be used to create new indicators for music classification.

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“…Next, reviewing existing studies of REITs, first, Huerta-Sanchez et al ( 2020) examined price bubbles in US REITs classified by property types. In addition, Ryu et al (2021) empirically examined the weak-form efficient market hypothesis for US REITs. Further, Odusami (2021a) investigated the roles of jumps in US REIT returns.…”

Section: Literature Reviewmentioning

confidence: 99%

Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan

Tsuji¹

2021

AFR

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This paper investigates return transmission, volatility spillovers, and dynamic correlations between the Tokyo Stock Exchange (TSE) Real Estate Investment Trust (REIT) index, the Nikkei 225 index, and the yen/dollar exchange rate. As a result, we find many new findings and these all show our significant contributions as follows. First, there is return transmission from the Nikkei 225 to the TSE REIT index. Second, there is bidirectional return transmission between the Nikkei 225 and the yen/dollar exchange rate. Third, there are bidirectional volatility spillovers between the Nikkei 225 and the TSE REIT index. Fourth, there are volatility spillovers from the Nikkei 225 to the yen/dollar exchange rate. Fifth, dynamic conditional correlations (DCCs) between TSE REIT returns and Nikkei 225 returns are not low. Moreover, DCCs between Nikkei 225 returns and yen/dollar exchange rate changes are not high. Furthermore, DCCs between TSE REIT returns and yen/dollar exchange rate changes are quite low. These our new findings shall be useful for not only deepening our understanding of financial markets but also our related future research.

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Market Efficiency of US REITs: A Revisit

Cited by 16 publications

References 52 publications

Measuring value at risk of cryptocurrency using quantum harmonic oscillator

Measuring value at risk of cryptocurrency using quantum harmonic oscillator

A Stochastic Process for Music: The Example of K-pop Music

Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan

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