Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

Chi Man Hui, Ka Kwan Kevin Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

8 Citations (Scopus)

Abstract

Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous.
Original languageEnglish
Pages (from-to)38-45
Number of pages8
JournalHabitat International
Volume48
DOIs
Publication statusPublished - 1 Aug 2015

Keywords

  • Halloween effect
  • January effect
  • Securitized real estate index
  • Shiryaev-Zhou index
  • Trading strategy

ASJC Scopus subject areas

  • Urban Studies

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