بحران مالی جهانی: آیا سرایت بین دارایی واقعی و بازارهای سرمایه وجود دارد؟
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|42272||2014||10 صفحه PDF||سفارش دهید||6985 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 405, 1 July 2014, Pages 216–225
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.