Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies

doi:10.1080/09599916.2019.1568283

CORC > 上海财经大学 > 上海财经大学

	Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies
	Liow, Kim Hiang 1; Zhou, Xiaoxia 2; Li, Qiang 1; Huang, Yuting 1
刊名	JOURNAL OF PROPERTY RESEARCH
	2019
卷号	36 期号:1 页码:27-58
关键词	Wavelet coherence partial/multiple coherence percentage of total volume macroeconomic factors Asian-Pacific and the US securitised real estate markets
ISSN号	0959-9916
DOI	10.1080/09599916.2019.1568283
英文摘要	The novelty of this study is the use of continuous wavelet transform analysis of wavelet coherence, as well as its partial and multiple forms, to revisit the co-movements of Asian-Pacific public real estate markets among themselves and with the US, for a time span which covers the 12 January 1995-23 June 2016 period. Earlier research does not have satisfactory results because traditional methods average different relationships in time domain only. From the wavelet analysis, investors can extract the time-scale that most interests them. We find that the co-movement relationship across the real estate markets increases during the two major crisis period, as well as becomes stronger as the scale increases. Hong Kong and Singapore have the strongest time-scale co-movement relationship. Finally, the influence of domestic macroeconomic factors on real estate return co-movement appears to be greater at the long-term horizons than at the short-term horizons.
WOS研究方向	Urban Studies
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000470301400002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/384]
专题	上海财经大学
通讯作者	Liow, Kim Hiang
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, Kim Hiang,Zhou, Xiaoxia,Li, Qiang,et al. Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies[J]. JOURNAL OF PROPERTY RESEARCH,2019,36(1):27-58.
APA	Liow, Kim Hiang,Zhou, Xiaoxia,Li, Qiang,&Huang, Yuting.(2019).Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies.JOURNAL OF PROPERTY RESEARCH,36(1),27-58.
MLA	Liow, Kim Hiang,et al."Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies".JOURNAL OF PROPERTY RESEARCH 36.1(2019):27-58.