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

Hui, Eddie C.M.; Chen, Jia

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

Eddie C.M. Hui and Jia Chen

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 15, 3951-3962

Abstract: 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.

Keywords: Financial crisis; Emerging real estate stock markets; Multivariate cumulate sum; Renormalized partial directed coherence (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:15:p:3951-3962

DOI: 10.1016/j.physa.2012.03.007

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