This paper uses the Markov Switching VAR model to examine the dynamics relationships between stock returns and housing returns in the US covering the periods from 1987 to 2017. The results show significant regime-dependent auto-correlations in stock and housing returns in both the high...

Large shocks that spill over from one market to another market become increasingly more prevalent especially in recent years as investors switch liquidity more frequently from markets to markets. This study uses Diebold and Yilmaz (2012) methodology to measure return spillovers across asset...

Based on Diehold and Yilmaz's (2012) methodology, we estimate three return spillover indices in a four-asset system comprising equity REIT (EREIT), mortgage REIT (MREIT), stock, and bond for the sample period from January 1972 to September 2014. We find that the total return spillover risks...

In this study, we use stock index data of various industries in Taiwan from 2001 to 2010 to estimate the exchange rate exposures of these industries under various data frequencies (daily, monthly, and quarterly). We add the effect of hot money on exchange rate exposures and find that significant...

Purpose – The goal of this research is to investigate the time‐varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach – The Multivariate GARCH‐vech model is used to capture the...