Shall we buy and hold? Evidence from Asian real estate markets

Chi Man Hui, Philip Yam, John Wright, Kevin Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

9 Citations (Scopus)

Abstract

Purpose: The purpose of this study is to verify whether the trading strategy can beat the "buy-and-hold" strategy for the securitized real estate indices of six Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia. Design/methodology/approach: This paper constructs a trading strategy from the Shiryaev-Zhou index and tests the strategy on the securitized real estate indices of six emerging Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia. The authors compare the resulting profits from using the trading strategy with the resulting profits from using the "buy-and-hold" strategy. The authors consider three cases: no transaction costs, 0.1 percent transaction costs, and 0.2 percent transaction costs. Findings: The results show that the trading strategy the authors constructed generally outperforms the "buy-and-hold" strategy even in the presence of transaction costs. In particular, the authors have a new finding as follows: Thailand and Malaysia's securitized real estate indices fell drastically during the period of observation. However, applying the trading strategy to these two securitized real estate indices can still earn a profit. Practical implications: The trading strategy is particularly useful in protecting investors from huge loss in adverse market conditions. The results can be applied to the field of finance/investment that investors can construct a trading strategy similar to the authors to earn more profits. Originality/value: This study will consider cases where both buying and selling costs exist, so the scenario is more like stock transactions in real-life equity markets. Furthermore, in this paper, for each securitized real estate index, the authors plot a graph to show the holding and non-holding periods under the trading strategy. This would help the authors explain the resulting profit under the trading strategy. This kind of graphical analysis was neglected by Hui and Yam.
Original languageEnglish
Pages (from-to)168-186
Number of pages19
JournalJournal of Property Investment and Finance
Volume32
Issue number2
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • "Buy-and-hold"
  • Securitized real estate index
  • Shiryaev-Zhou index
  • Trading strategy
  • Transaction costs

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Finance
  • Economics, Econometrics and Finance(all)

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