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dynamic conditional correlation sign in to follow this
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Extreme Dependence between Public Real Estate and Stock Markets
Company: Institute of Real Estate Studies, National University of Singapore
Year Of Publication: 2011
Month Of Publication: June
Pages: 22
Download Count: 4
View Count: 1095
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-10-2011
Publisher: Administrator
Summary
The main contribution of this study is to study the extreme dependence between the real estate securities and stock markets in Australia, China, Hong Kong, Japan, Malaysia, the Philippines, Singapore and Taiwan between January 1995 and March 2011. For each market, we derive the time series tail dependence coefficients (TDC) which measures how likely financial returns move in extreme market conditions, using the dynamic conditional correlation (DCC) methodology of Engle (2002). Overall, our results indicate Singapore, Philippines and Hong Kong have the highest extreme real estate–stock market co-movement of at least 50%.
Author(s)
Liow, Kim Hiang Sign in to follow this author
Lee, Zhuo Sign in to follow this author
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