Abstract
This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes-Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US's equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis. © 2014 Elsevier B.V. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 216-225 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 405 |
| DOIs | |
| Publication status | Published - 1 Jul 2014 |
| 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 crisis
- Real estate
