DEPENDENCE OF REAL ESTATE AND EQUITY MARKETS IN CHINA WITH THE APPLICATION OF COPULA
Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 12
Abstract
This paper examines the dynamic dependence and extreme co-movements between real estate and equity markets in China. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from copulas. When comparing the real estate indices and equity market indices in China, our results show that series in both Shanghai Exchange and Shenzhen Exchange exhibit tail dependence with their respective equity indices. Time-varying SJC copula is the optimal dependence structure while illustrate the extreme co-movement between real estate and equity markets in China.
Authors and Affiliations
Iou-Ming Wang| Assistant Professor, Department of International Business, Providence University, Taiwan, Ming Fang| Department of International Business Studies, National Chi Nan University, Taiwan, Chiu-Lan Chang*| Assistant Professor, Department of International Business, Providence University, Taiwan
Keywords
Related Articles
- EP ID EP2238
- DOI -
- Views 459
- Downloads 38
FIRM LEVEL JOB CREATION RATES OVER THE BUSINESS CYCLE
We study the evolution and cyclical dependence of the cross sectional distribution of firm level job creation rates from 1975 to 2004 for the Austrian private sector. The share of firms not adjusting has declined over ti...
THE IMPACT OF TRADE LIBERALIZATION ON DEMAND AND PRICE VOLATILITY IN PAKISTAN: CO INTEGRATION APPROACH FOR COMPENSATION HYPOTHESIS
The important modification of the compensation hypothesis rests on the principle; increased trade openness increase the domestic economic volatility. The economic theory recommend increase of international trade require...
DO QUALIFIED FOREIGN INSTITUTIONAL INVESTORS IMPROVE INFORMATION EFFICIENCY: A TEST OF STOCK PRICE SYNCHRONICITY IN CHINA?
Stock price synchronicity at a country level has been the subject of many previous studies, but for most investors it is more relevant at a firm level. Working from the perspective of a foreign investor stock price synch...
THE EFFECTS OF GLOBALIZATION ON EMPLOYMENT: BOUNDS TEST APPROACH IN TURKEY SAMPLE
The increase of economic, political, social, and cultural relationships between the countries with globalization has resulted in a shift from industrial society to information society. With knowledge-intensive work being...
Unemployment and Property Crimes in Pakistan
The study examines the relationship between unemployment and propertycrimes for Pakistan covering the period of 1975 to 2008. The Johansencointegratiom methodology along with Granger causality through VEC isapplied to th...