Show simple item record

dc.contributor.authorKallberg, Jarl G.
dc.contributor.authorLiu, Crocker H.
dc.contributor.authorPasquariello, Paolo
dc.date.accessioned2020-09-12T21:03:14Z
dc.date.available2020-09-12T21:03:14Z
dc.date.issued2002-01-01
dc.identifier.other5383670
dc.identifier.urihttps://hdl.handle.net/1813/71520
dc.description.abstractThis paper applies a new statistical technology for identifying regime shifts to analyze recent data on real estate and equity markets in eight developing Far Eastern countries in the 1992–1998 time period. We find that regime shifts in volatility occur in the summer of 1997; however, most of the regime shifts in returns occur in the spring of 1998. While the clustering of regime breaks does not seem to follow any obvious pattern, the country’s exposure to trade and firm leverage are important. An analysis of Granger causality suggests that, in most cases, equity returns cause real estate returns but the converse is not true. We also find two‐way causality in volatility, suggesting that a common factor drives volatility in these markets. Finally, we provide evidence that the regime shifts generally imply higher relative risk for real estate securities after the estimated breaks.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Wiley. Final version published as: Kallberg, J. G., Liu, C. H., & Pasquariello, P. (2002). Regime shifts in Asian equity and real estate markets. Real Estate Economics, 30(2), 263-291. Reprinted with permission. All rights reserved.
dc.subjectreal estate markets
dc.subjectasset management
dc.subjectequity
dc.subjectAsia
dc.subjectrisk analysis
dc.titleRegime Shifts in Asian Equity and Real Estate Markets
dc.typearticle
dc.relation.doihttps://doi.org/10.1111/1540-6229.00040
dc.description.legacydownloadsLiu24_Regime_shifts.pdf: 464 downloads, before Aug. 1, 2020.
local.authorAffiliationKallberg, Jarl G.: New York University
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationPasquariello, Paolo: New York University


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Statistics