The global financial crisis: Is there any contagion between real estate and equity markets?

Hui, Eddie C.M.; Chan, Ka Kwan Kevin

doi:10.1016/j.physa.2014.03.008

Cited by 40 publications

(26 citation statements)

References 25 publications

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“…Number of empirical analyses document severe effects of the GFC on world financial markets that materialized via far reaching contagions (Caetano and Yoneyama [1]; da Silva et al [2]; Chen et al [3]; Hui and Chan [4]). It was also documented that excessive co-movements between stocks and stock market indices were associated with contagion (Dewandaru et al [5], Lyócsa et al [6]).…”

Section: Introduction: Motivation Related Literature and Contributionmentioning

confidence: 99%

Networks of volatility spillovers among stock markets

Baumöhl

Kočenda

Lyócsa

et al. 2018

Physica A: Statistical Mechanics and its Applications

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity marketvolatility spillovers decrease when markets are characterized by greater temporal proximity. Terms of use: Documents inVolatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.JEL-Codes: C310, C580, F010, G010, G150.Keywords: volatility spillovers, stock markets, shock transmission, Granger causality network, spatial regression, financial crisis. We benefited from helpful comments we received from two anonymous referees and participants at several presentations. Eduard Baumöhl University of Economics in Bratislava

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Section: Introduction: Motivation Related Literature and Contributionmentioning

confidence: 99%

Networks of volatility spillovers among stock markets

Baumöhl

Kočenda

Lyócsa

et al. 2018

Physica A: Statistical Mechanics and its Applications

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“…The impact of the global financial crisis was worldwide as many studies showed that there was significant contagion across different nations (e.g. Hui, Chan 2012, 2014b. Many scholars raised doubts on whether that the EMH and the "buy-and-hold" strategy still work.…”

Section: Introductionmentioning

confidence: 99%

A New Time-Dependent Trading Strategy for Securitized Real Estate and Equity Indices

Hui

Chan

2017

International Journal of Strategic Property Management

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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

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“…Hong Kong, as a special open window of mainland China to the world, endures various external impacts, not only from other countries, also from mainland China. Thus, the stable growth in Chinese economy, exerting contagious impacts on Hong Kong economy [40], reduces the durations of recession in the stock market, as well as the real estate market in Hong Kong.…”

Section: Short-term Dynamics Of Each Marketmentioning

confidence: 99%