Investigating the change of causality in emerging property markets during the financial tsunami

Chi Man Hui; Jia Chen

doi:10.1016/j.physa.2012.03.007

Investigating the change of causality in emerging property markets during the financial tsunami

Chi Man Hui, Jia Chen

Research output: Journal article publication › Journal article › Academic research › peer-review

14 Citations (Scopus)

Abstract

In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.

Original language	English
Pages (from-to)	3951-3962
Number of pages	12
Journal	Physica A: Statistical Mechanics and its Applications
Volume	391
Issue number	15
DOIs	https://doi.org/10.1016/j.physa.2012.03.007
Publication status	Published - 1 Aug 2012

Keywords

Emerging real estate stock markets
Financial crisis
Multivariate cumulate sum
Renormalized partial directed coherence

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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10.1016/j.physa.2012.03.007

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abstract = "In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.",

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AB - In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.

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ER -

Investigating the change of causality in emerging property markets during the financial tsunami

Abstract

Keywords

ASJC Scopus subject areas

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