Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/119288
Title: THE DYNAMICS OF COMOVEMENTS AND CORRELATIONS IN PUBLIC PROPERTY MARKETS: EVIDENCE FROM GREATER CHINA AND INTERNATIONAL LINKAGES
Authors: ZHOU XIAOXIA
Keywords: Public Real Estate Market, Co-movement, the Greater China, correlation structure, business cycle, synchronization
Issue Date: 2-Jul-2014
Citation: ZHOU XIAOXIA (2014-07-02). THE DYNAMICS OF COMOVEMENTS AND CORRELATIONS IN PUBLIC PROPERTY MARKETS: EVIDENCE FROM GREATER CHINA AND INTERNATIONAL LINKAGES. ScholarBank@NUS Repository.
Abstract: THIS THESIS CONDUCTS AN OVERALL STUDY ON INTERNATIONAL REAL ESTATE INVESTMENT AND LINKAGE AMONG GREATER CHINA PUBLIC REAL ESTATE MARKET WITH REAL ECONOMY AND EQUITY MARKET. FIRSTLY, USING CO-MOVEMENT BOX AND ADCC-GARCH, EMPIRICAL RESULTS DOCUMENT RELATIVE HIGHER LEVEL OF CODEPENDENCE RELATIONSHIP WITHIN GC MARKETS THAN THAT WITH OTHER FIVE REAL ESTATE MARKETS. CONTAGION EFFECT ALSO EXISTS IN INTERNATIONAL SECURITIZED PROPERTY MARKETS DURING CRISIS PERIOD. SECONDLY, THE EMPIRICAL RESULTS INDICATE THAT FIVE REAL ESTATE FACTORS ARE SIGNIFICANT IN INFLUENCING CROSS-MARKET REAL ESTATE SECURITIES RETURN CORRELATIONS IN DIFFERENT DEGREE. THIRDLY, USING BILATERAL CONCORDANCE INDEX AND A MULTILATERAL GMM BASED TEST, EMPIRICAL RESULTS INDICATE THAT MULTILATERAL PUBLIC REAL ESTATE CYCLES WITHIN GC MARKETS AND WITH OTHER FIVE REAL ESTATE MARKETS ARE ALSO STRONGLY SYNCHRONIZED. BESIDES, BUSINESS CYCLE SYNCHRONIZATION HAS AN EXPLANATION POWER FOR SECURITIZED REAL ESTATE MARKET CYCLE COHERENCE. THE
URI: http://scholarbank.nus.edu.sg/handle/10635/119288
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
ZhouXiaoxiaZXX.pdf3.69 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

196
checked on Oct 14, 2021

Download(s)

61
checked on Oct 14, 2021

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.