DEPENDENCE OF REAL ESTATE AND EQUITY MARKETS IN CHINA WITH THE APPLICATION OF COPULA
Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 12
Abstract
This paper examines the dynamic dependence and extreme co-movements between real estate and equity markets in China. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from copulas. When comparing the real estate indices and equity market indices in China, our results show that series in both Shanghai Exchange and Shenzhen Exchange exhibit tail dependence with their respective equity indices. Time-varying SJC copula is the optimal dependence structure while illustrate the extreme co-movement between real estate and equity markets in China.
Authors and Affiliations
Iou-Ming Wang| Assistant Professor, Department of International Business, Providence University, Taiwan, Ming Fang| Department of International Business Studies, National Chi Nan University, Taiwan, Chiu-Lan Chang*| Assistant Professor, Department of International Business, Providence University, Taiwan
Keywords
Related Articles
- EP ID EP2238
- DOI -
- Views 491
- Downloads 38
AN ANALYSIS OF PERCEPTIONS ON FINANCIAL EDUCATION AND ASSET BUILDING IN THE ALABAMA BLACK BELT
The study focused on analyzing perceptions on financial education and asset building in the Alabama Black Belt. Data were obtained from a convenience sample of 204 participants from several Alabama Black Belt counties. T...
AN EXPLORATION ON THE BUSINESS MODEL OF SOCIAL ENTERPRISES OWNED BY CHINESE ENTREPRENEURS IN TAIWAN
This study aims to explore the business models of the social enterprises owned by Chinese entrepreneurs and tries to construct a business model. In order to overcome the shortcomings of a lack of objective verification i...
DEPENDENCE OF REAL ESTATE AND EQUITY MARKETS IN CHINA WITH THE APPLICATION OF COPULA
This paper examines the dynamic dependence and extreme co-movements between real estate and equity markets in China. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from cop...
INVESTIGATING THE CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND AGGREGATE ECONOMIC PERFORMANCE OF SOUTH AFRICA
Stock is one of the key securities traded in the capital markets and as such, has attracted the attention of researchers. While it is said to propel economic activities, empirical studies conducted on different countries...
THE EFFECTS OF GLOBALIZATION ON FIRM PERFORMANCE IN EMERGING MARKETS: EVIDENCE FROM EMERGING-7 COUNTRIES
Although there exists a wide array of literature regarding almost every aspect of globalization at macro level, surprisingly, the micro level of the subject area seems to be a little ignored and consequently, almost noth...