Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

Eddie C.M. Hui; Ka Kwan Kevin Chan

doi:10.1016/j.habitatint.2015.03.009

Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

Eddie C.M. Hui^*
, Ka Kwan Kevin Chan

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

10 Citations (Scopus)

Abstract

Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous. © 2015 Elsevier Ltd.

Original language	English
Pages (from-to)	38-45
Journal	Habitat International
Volume	48
DOIs	https://doi.org/10.1016/j.habitatint.2015.03.009
Publication status	Published - 1 Aug 2015
Externally published	Yes

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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

Halloween effect
January effect
Securitized real estate index
Shiryaev-Zhou index
Trading strategy

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@article{00bdfca144ac42e9be972ec9abc25a9a,

title = "Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index",

abstract = "Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous. {\textcopyright} 2015 Elsevier Ltd.",

keywords = "Halloween effect, January effect, Securitized real estate index, Shiryaev-Zhou index, Trading strategy",

author = "Hui, \{Eddie C.M.\} and Chan, \{Ka Kwan Kevin\}",

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].",

year = "2015",

month = aug,

day = "1",

doi = "10.1016/j.habitatint.2015.03.009",

language = "English",

volume = "48",

pages = "38--45",

journal = "Habitat International",

issn = "0197-3975",

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TY - JOUR

T1 - Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

AU - Hui, Eddie C.M.

AU - Chan, Ka Kwan Kevin

N1 - 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].

PY - 2015/8/1

Y1 - 2015/8/1

N2 - Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous. © 2015 Elsevier Ltd.

AB - Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous. © 2015 Elsevier Ltd.

KW - Halloween effect

KW - January effect

KW - Securitized real estate index

KW - Shiryaev-Zhou index

KW - Trading strategy

UR - https://www.scopus.com/pages/publications/84925437183

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84925437183&origin=recordpage

U2 - 10.1016/j.habitatint.2015.03.009

DO - 10.1016/j.habitatint.2015.03.009

M3 - RGC 21 - Publication in refereed journal

SN - 0197-3975

VL - 48

SP - 38

EP - 45

JO - Habitat International

JF - Habitat International

ER -

Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

Abstract

Bibliographical note

Research Keywords

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