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

Chi Man Hui, Ka Kwan Kevin Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)


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.
Original languageEnglish
Pages (from-to)567-586
Number of pages20
JournalJournal of Real Estate Finance and Economics
Issue number4
Publication statusPublished - 1 May 2018


  • Case-resampling bootstrap method
  • Cokurtosis test
  • Contagion
  • Coskewness test

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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