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Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective

  • Eddie C. M. Hui
  • Ka Kwan Kevin Chan
Article
  • 285 Downloads

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 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, Applied Financial Economics Letters, 1(6), 343-347 (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-resampling 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 securitized real estate markets. This study has useful implications to investors, regulators and policy makers.

Keywords

Contagion Coskewness test Cokurtosis test Case-resampling bootstrap method 

Notes

Acknowledgment

We are grateful for the financial support from the PolyU Internal Research Grant (Project # G-YBJL and G-UA6V) and RGC Grant (Project # PolyU 152059/14E).

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.Department of Building and Real EstateThe Hong Kong Polytechnic UniversityHung HomHong Kong

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