The global financial crisis: Is there any contagion between real estate and equity markets?

Chi Man Hui, Ka Kwan Kevin Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

32 Citations (Scopus)

Abstract

This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes-Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US's equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis.
Original languageEnglish
Pages (from-to)216-225
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume405
DOIs
Publication statusPublished - 1 Jul 2014

Keywords

  • Cokurtosis
  • Contagion
  • Coskewness
  • Financial crisis
  • Real estate

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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