Abstract
The aim of this paper is to investigate the contagion across real estate markets of four countries: Hong Kong, China, U.S. and U.K., during the financial tsunami in 2008. We use the Forbes-Rigobon test, the coskewness test and the cokurtosis test. We propose a new cokurtosis test constructed by extending the method of constructing the coskewness test to further higher order moments. It can show additional channels of contagion that other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. The coskewness and cokurtosis tests show that contagion exists between the four countries, and the contagion effect is stronger between Hong Kong and China, and between U.S. and U.K. This provides clues for investors on how to diversify their investment to reduce their risk. This paper bridges the gap that previous works on contagion across real estate markets give mixed results, and gives a first insight into the contagion pattern of global real estate markets during the financial tsunami. © 2012 Copyright Vilnius Gediminas Technical University (VGTU) Press Technika.
| Original language | English |
|---|---|
| Pages (from-to) | 219-235 |
| Journal | International Journal of Strategic Property Management |
| Volume | 16 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Sept 2012 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- Cokurtosis
- Contagion
- Coskewness
- Financial tsunami
- Real estate
Publisher's Copyright Statement
- This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/