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

Chi Man Hui, Jia Chen

Research output: Journal article publicationJournal articleAcademic researchpeer-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 languageEnglish
Pages (from-to)3951-3962
Number of pages12
JournalPhysica A: Statistical Mechanics and its Applications
Volume391
Issue number15
DOIs
Publication statusPublished - 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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