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Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to … outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less …

Persistent link: https://www.econbiz.de/10011961522

Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective

Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9

This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that the pandemic outbreak had...

Persistent link: https://www.econbiz.de/10012626774

Trading activity in public real estate markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-12

Trading activity is an important characteristic of financial markets, since it is related to price discovery, volatility, and market liquidity. It is therefore of crucial importance to understand what drives trading activity in real estate markets. Here, we use a panel dataset consisting of 142...

Persistent link: https://www.econbiz.de/10013395946

An extended fama-french multi-factor model in direct real estate investing

Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-14

Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing model (CAPM) to investigate whether direct real...

Persistent link: https://www.econbiz.de/10013397750

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

Persistent link: https://www.econbiz.de/10011545240

Testing for causality-in-mean and variance between the UK housing and stock markets

Toyoshima, Yuki - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...

Persistent link: https://www.econbiz.de/10011856853

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients

Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, pp. 1-23

-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on … a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the …

Persistent link: https://www.econbiz.de/10012304724

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification …

Persistent link: https://www.econbiz.de/10012172980

COVID-19 outbreak and CO2 emissions : macro-financial linkages

Chevallier, Julien - In: Journal of risk and financial management : JRFM 14 (2021) 1/12, pp. 1-18

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations …

Persistent link: https://www.econbiz.de/10012404280