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

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• 作者：Eddie C.M. Hui ; ^{bscmhui@inet.polyu.edu.hk} ; Jia Chen ^{bscj1001@polyu.edu.hk}
• 关键词：Financial crisis ; Emerging real estate stock markets ; Multivariate cumulate sum ; Renormalized partial directed coherence
• 刊名：Physica A
• 出版年：2012
• 期刊代码：138_03784371
• 类别：et
• 出版时间：1 August, 2012
• 卷：391
• 期：15
• 页码：3951-3962
• 文件大小：608 K

摘要

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.