Download or read book The Causal Relationship between Real Estate and Stock Markets written by John Okunev and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamic relationship that exists between the US real estate and Samp;P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear casuality tests. The results from these tests provide a number of interesting observations which primarily show linear relationships to be spuriously affected by structural shifts which are inherent within the data. Linear test results generally show a uni-directional relationship to exist from the real estate market to the stock market. However, these results are not consistent with financial theory and for all sub-samples of the data. In contrast, the nonlinear causality test shows a strong unidirectional relationship running from the stock market to the real estate market, and is consistent in the presence of any structural breaks.

Download or read book The Co Movement and Causality Between the U S Real Estate and Stock Markets in the Time and Frequency Domains written by Tsangyao Chang and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve with time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent past decades, exception for 1998-2002 when a high negative co-movement emerged. In the frequency domain, the two markets correlate with each other mainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998-2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers and practitioners.

Download or read book Relationship Between the Real Estate Sector and the Stock Market in Chinese Provinces written by Zeyu Di and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In China, real estate and the stock market are the two main markets favored by both individual and institutional investors. There is a significant economic link between the two. Therefore, their relationship and long-term and short-term causality can provide good guidance for investors. This paper studies the causality and correlation relationship between the stock market and real estate sector's trading volumes in 31 provinces of China. Its empirical results are based on panel data from 2000 to 2016. Various panel unit root, co-integration, and model specification and estimation tests are carried out. The panel mean group is found to be the most suitable method for the analysis. The study finds that the main industries in different provinces may affect the short-term causal relationship between the real estate sector and the stock market. But in the long-run, the causal relationship between the two is 2-way and stable.

Download or read book Non linear Causality Between the Stock and Real Estate Markets written by Chi Wei Su and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last few years, the relationship between real estate and stock markets has always been the hot topic not only in China, but also in western countries. The identification of such relationship is critical for both investors in these two markets and policymakers who need such information prior the designing of a national growth strategy. Traditional linear methods, such as Granger causality test and cointegration test, are already found not capable to catch the essence of the complex reality. Therefore, this book uses the asymmetrical threshold cointegration test and the non-parametric rank test to investigate whether any significant relationship and asymmetric adjustment exists between real estate and stock markets in China and Western European countries. This book should help shed light on the study of economic events, and also is useful to anyone who is interested in the application of econometric methods.

Download or read book The Co movement and Causality Between the US Real Estate and Stock Markets in the Time and Frequency Domains written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Finance written by Shigeyuki Hamori and published by MDPI. This book was released on 2019-03-25 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.

Download or read book Proceedings of 20th International Conference on Industrial Engineering and Engineering Management written by Ershi Qi and published by Springer Science & Business Media. This book was released on 2013-12-16 with total page 1168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Conference on Industrial Engineering and Engineering Management is sponsored by the Chinese Industrial Engineering Institution, CMES, which is the only national-level academic society for Industrial Engineering. The conference is held annually as the major event in this arena. Being the largest and the most authoritative international academic conference held in China, it provides an academic platform for experts and entrepreneurs in the areas of international industrial engineering and management to exchange their research findings. Many experts in various fields from China and around the world gather together at the conference to review, exchange, summarize and promote their achievements in the fields of industrial engineering and engineering management. For example, some experts pay special attention to the current state of the application of related techniques in China as well as their future prospects, such as green product design, quality control and management, supply chain and logistics management to address the need for, amongst other things low-carbon, energy-saving and emission-reduction. They also offer opinions on the outlook for the development of related techniques. The proceedings offers impressive methods and concrete applications for experts from colleges and universities, research institutions and enterprises who are engaged in theoretical research into industrial engineering and engineering management and its applications. As all the papers are of great value from both an academic and a practical point of view, they also provide research data for international scholars who are investigating Chinese style enterprises and engineering management.

Download or read book Price Volume Correlation in the Housing Market written by Jim Clayton and published by . This book was released on 2008 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Housing market cycles are featured by a positive correlation of prices and trading volume, which is conventionally attributed to a causal relationship between prices and volume. This paper analyzes the housing markets in 114 metropolitan statistical areas in the United States from 1990 to 2002, treats both prices and volume as endogenous variables, and studies whether and how exogenous shocks cause co-movements of prices and volume. At quarterly frequency, we find that, first, both home prices and trading volume are affected by conditions in labor markets, the mortgage market, and the stock market, and the effects differ between markets with low and high supply elasticity. Second, home prices Granger cause trading volume, but the effects are asymmetric - decreases in prices reduce trading volume, and increases in prices have no effect. Third, trading volume also Granger causes home prices, but only in markets with inelastic supply. Finally, we find a statistically significant positive price-volume correlation; which, however, is mainly explained by co-movements of prices and volume caused by exogenous shocks, instead of the Granger causality between prices and volume.

Download or read book Housing Finance and Real Estate Booms written by Mr.Eugenio Cerutti and published by International Monetary Fund. This book was released on 2015-06-03 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global crisis highlighted the risks stemming from real estate booms. This has generated a growing literature trying to better understand the sources and the risks associated with housing and credit booms. This paper complements and supplements the previous work by (i) exploiting more disaggregated data on credit allowing us to dissociate between firm-credit and household (and in some cases mortgage) credit, and (ii) by taking into account the characteristics of the mortgage market, including institutional as well as other factors that vary across countries. This detailed cross-country analysis offers new valuable insights.

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Download or read book Proceedings of the 20th International Symposium on Advancement of Construction Management and Real Estate written by Yuzhe Wu and published by Springer. This book was released on 2016-05-27 with total page 1311 pages. Available in PDF, EPUB and Kindle. Book excerpt: These conference proceedings offer an outstanding resource for academics and professionals, sharing essential findings on the latest developments in real estate and construction management. The subject is “Advancement of Construction Management and Real Estate” in the context of new-type urbanization. The Chinese Research Institute of Construction Management (CRIOCM), working in close collaboration with Zhejiang University, organized CRIOCM2015, the 20th International Symposium. Written by academics and professionals from all over the world, these proceedings discuss the latest achievements, research outputs and advances between frontier disciplines in the field of construction management and real estate. They cover a wide range of topics, including new-type urbanization, land development and land use, urban development and management, the real estate market and housing policies. The discussions will provide an important reference source on the implementation of new-type urbanization in China and abroad.

Download or read book Noneparametric methods in economics and finance dependence causality and prediction written by Valentyn Panchenko and published by Rozenberg Publishers. This book was released on 2004 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book How to Deal with Real Estate Booms written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2011-04-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crisis showed, once again, that neglecting real estate booms can have disastrous consequences. In this paper, we spell out the circumstances under which a more active policy agenda on this front would be justified. Then, we offer tentative insights on the pros and cons as well as implementation challenges of various policy tools that can be used to contain the damage to the financial system and the economy from real estate boom-bust episodes.

Download or read book A Wavelet Based Study of Systematic Risk written by Kim Hiang Liow and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the dynamics of real estate local and global betas using a novel approach - wavelet analysis on nine Asia-Pacific and the US public real estate markets from January 1995 to June 2016. Specifically, Wavelets are localized in both time and scale, and can be used to filter data up into different frequency components. We appeal to the continuous wavelet transform to estimate the two real estate betas across the usual three investment horizons (short-run, medium-term and long-run), as well analyze their dynamic causality relations in asset pricing from the time-frequency perspective. The main empirical insight is that both real estate local beta and real estate global beta coefficients have a time-scale tendency in sample real estate markets. Their joint market risk increases in the long-run at both the local and global levels. The causal relationship between the real estate local/global betas of the US and Asian real estate markets is the strongest at longer time horizons. Moreover, there is non-linear causal relationship between real estate global beta and real estate local beta in all three investment horizons, with a strong feedback relationship exists between the two real estate beta measures in the medium-term for 80% of the sample real estate markets. A better understanding regarding the implications for real estate capital market securitization and market integration at the local and international levels has become important because international financial markets have become increasingly interdependent with continuing liberalization of cross-border capital flows.

Download or read book An empirical study on the Granger Causality and relationship among foreign exchange rate stock market and real estate market written by Yixuan Li and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Gabler Verlag. This book was released on 2009-06-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory aims at linking an asset’s higher return to its higher risk exposure. However, the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), the most widely taught model in business and economics classes, has been largely contested in the literature by researchers finding anomalous patterns in equity returns. Based on the failure to match the CAPM with empirical data, researchers have been in an ongoing dispute whether the anomalous behavior in equity returns is still reconcilable with market equilibrium and, therefore, with a risk-based explanation, or must be seen as consequences of investors’ irrational behavior and the agency costs of professional investment management. To support a rational pricing story, Fama and French (1992, 1993, 1996) develop a three-factor model that is highly successful in c- turing the two well-known anomalies related to a stock’s market capitalization and valuation level, the size and book-to-market effects. They argue that their model must be seen in the context of Merton’s (1973) Intertemporal Capital Asset Pricing Model (ICAPM) so that their size and book-to-market factors act as state variables capturing the investor’s hedging motives. They consider relative distress risk as the economic source of the common variation in stock returns related to their factors.

Download or read book Uncertainty and Challenges in Contemporary Economic Behaviour written by Ercan Özen and published by Emerald Group Publishing. This book was released on 2020-09-25 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day presents new challenges as the face of global economics changes. In this first book in the Emerald Studies in Finance, Insurance, and Risk Management, expert editors and contributors come together to discuss global response to new uncertainty and challenges.