دانلود مقاله ISI انگلیسی شماره 40404
عنوان فارسی مقاله

اثرات تقویم آزمایش بر روی بازار املاک و مستغلات اوراق بهادار جهانی با استفاده از شاخص Shiryaev-ژو

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
40404 2015 8 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Habitat International, Volume 48, August 2015, Pages 38–45

کلمات کلیدی
اثر هالووین - اثر ژانویه - شاخص Shiryaev-ژو - اوراق بهادار شاخص املاک و مستغلات - استراتژی تجاری
پیش نمایش مقاله
پیش نمایش مقاله اثرات تقویم آزمایش بر روی بازار املاک و مستغلات اوراق بهادار جهانی با استفاده از شاخص Shiryaev-ژو

چکیده انگلیسی

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.

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