THE CORRELATION AND CONTAGION EFFECT BETWEEN US REITS AND JAPAN REITS - BASED ON THE ARMAX-GJR-GARCH-COPULA MODEL
Journal Title: Asian Economic and Financial Review - Year 2013, Vol 3, Issue 12
Abstract
The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.
Authors and Affiliations
Miin-Yu Peng| Ph.D student ,School of Economics, Nankai University,China, Wo-Chiang Lee| Department of Banking and Finance, Tamkang University, Yin-Chuan Road, Tamsui, New Taipei City, Taiwan, ROC
Modelling Non-Interest Income at Tunisian Banks
The aim of this paper is to analyze the determinants of the non-interest income for the Tunisian context by the use of data of 10 Tunisian deposit banks. Our sample is observed during the period 1998-2009. Using panel da...
DETECTING THE CONVERGENCE CLUBS AND CATCH−UP IN GROWTH
We conduct empirical panel data analysis to detect the catching- up effect in growth and the possibility to form different convergence clubs in selected Europe and Asian economies. In particular, we seek to investigate i...
THE PRACTICE OF DIVIDEND-YIELD STRATEGIES IN THE GREATER CHINA REGION
Studies have shown that, under equally-weighted portfolio returns, dividend-yield strategies often exhibit anomalies in U.S. and European markets. However, Fama (1998) argued that long-term abnormal returns would disappe...
TRADE OPENNESS AND GROWTH IN DEVELOPING COUNTRIES: AN ANALYSIS OF THE RELATIONSHIP AFTER COMPARING TRADE INDICATORS
The paper demonstrates that trade policy liberalization have weakly contributed in improving economic growth in 82 developing countries two years after the Uruguay round and until 2012. The assertion is preceded by a tra...
FINANCIAL ANALYSIS OF WAQF REAL ESTATE REVENUES IN THE WEST BANK: 1994-2014
This paper made a financial analysis of the revenues of the Palestinian Ministry of Waqf ( endowment ) and specifically its real estate revenues in the West Bank. It was found that 61% of the waqf ministry?s total reven...