Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies

doi:10.1108/JPIF-07-2018-0048

CORC > 上海财经大学 > 上海财经大学

	Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies
	Liow, KimHiang 1; Zhou, Xiaoxia 2; Li, Qiang 1; Huang, Yuting 1
刊名	JOURNAL OF PROPERTY INVESTMENT & FINANCE
	2019-02-04
卷号	37 期号:1 页码:92-117
关键词	Non-linear Granger causality test US and Asian-Pacific securitized real estate markets Dynamic integration Return and volatility connectivity Time-frequency domain Wavelet decomposition
ISSN号	1463-578X
DOI	10.1108/JPIF-07-2018-0048
英文摘要	Purpose The purpose of this paper is to revisit the dynamic linkages between the US and the national securitized real estate markets of each of the nine Asian-Pacific (APAC) economies in time-frequency domain. Design/methodology/approach Wavelet decomposition via multi-resolution analysis is employed as an empirical methodology to consider time-scale issue in studying the dynamic changes of the US-APAC cross-real estate interdependence. Findings The strength and direction of return correlation, return exogeneity, shock impulse response, market connectivity and causality interactions change when specific time-scales are involved. The US market correlates with the APAC markets weakly or moderately in the three investment horizons with increasing strength of lead-lag interdependence in the long-run. Moreover, there are shifts in the net total directional volatility connectivity effects at the five scales among the markets.
WOS研究方向	Business & Economics
语种	英语
出版者	EMERALD GROUP PUBLISHING LTD
WOS记录号	WOS:000456513800006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/351]
专题	上海财经大学
通讯作者	Liow, KimHiang
作者单位	1.Natl Univ Singapore, Dept Real Estate, Singapore, Singapore; 2.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Liow, KimHiang,Zhou, Xiaoxia,Li, Qiang,et al. Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies[J]. JOURNAL OF PROPERTY INVESTMENT & FINANCE,2019,37(1):92-117.
APA	Liow, KimHiang,Zhou, Xiaoxia,Li, Qiang,&Huang, Yuting.(2019).Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies.JOURNAL OF PROPERTY INVESTMENT & FINANCE,37(1),92-117.
MLA	Liow, KimHiang,et al."Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies".JOURNAL OF PROPERTY INVESTMENT & FINANCE 37.1(2019):92-117.