Asset market linkages: Evidence from financial, commodity and real estate assets

Chan, Kam Fong; Treepongkaruna, Sirimon; Brooks, Robert Darren; Gray, Stephen

doi:10.1016/j.jbankfin.2010.10.022

Cited by 245 publications

(133 citation statements)

References 36 publications

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“…Since negative correlation is desired during stock market downturns, these findings greatly increase the appeal of government bonds as a potential safe haven. Chan et al (2011) find that U.S. Treasury bonds act as a safe haven for equity investors during market turbulence.…”

Section: The Stock-bond Relationshipmentioning

confidence: 94%

“…Chan et al (2011) also analyse asset market linkages using a regime-switching methodology, focusing on the changing relationships of assets from three different classes between two regimes. Our aim is similar but we adopt a model to facilitate a much finer disaggregation of the risk sources by decomposing asset returns into common and idiosyncratic factors.…”

Section: Introductionmentioning

confidence: 99%

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Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Flavin

Morley

Panopoulou

2014

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tOur analysis takes the perspective of an equity fund manager who seeks a potential safe haven asset to protect her portfolio during market downturns. We employ a regime-switching framework, within which we separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and 1-year U.S. Treasury bonds. We find evidence in favour of choosing either gold or the longer-dated bond as our safe haven asset. Both deliver risk reduction benefits as equity markets plunge. In contrast, the 1-year bond is not suitable as its vulnerability to contagious idiosyncratic shocks more than offsets its ability to hedge against common risk factors.

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Section: The Stock-bond Relationshipmentioning

confidence: 94%

Section: Introductionmentioning

confidence: 99%

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Flavin

Morley

Panopoulou

2014

Journal of International Financial Markets, Institutions and Mo

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“…Miyazaki and Hamori (2013) perform statistical tests for causality between gold and stock for both returns and volatilities. See also Chan et al (2011) and Sari et al (2010) for linkages between commodities including gold and other asset markets.…”

mentioning

confidence: 99%

Cointegration with Regime Shift between Gold and Financial Variables

Miyazaki¹,

Hamori²

2014

International Journal of Financial Research

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This paper investigates the long-run relationship between gold and three main financial variables based on daily data from January 1990 to May 2013. By using the Gregory-Hansen cointegration test, we show that there exists a cointegrating relation with regime shift between gold and the three financial variables, namely the short-term interest rate, value of US dollar, and stock index. Furthermore, taking into account the regime shift, we estimate the cointegrating vector by employing the dynamic ordinary least squares estimation and find that the coefficients of most of the financial variables have grown in terms of absolute value in later years. This finding implies that gold has begun to be regarded as an important financial asset for making effective investments.

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“…Since our purpose is to construct the house price index itself, rather than its logarithm, it is convenient to use the parameterization in Nagaraja, Brown and Zhao (2011) and calculate I t = exp β t . 7 Finally, we take the first quarter in our sample as the reference point for which the price index is set to unity.…”

Section: Empirical Analysismentioning

confidence: 99%

“…These factors unbalance the pricing data and complicate econometric construction of a price index due to problems of heterogeneous, 1 The recent literature has witnessed an upsurge of interest in studying real estate markets from perspectives of banking, financial and macroprudential policy. See, for example, the study of the relationship between real estate prices and banking instability (Koetter and Poghosyan, 2010;Reinhart and Rogoff, 2013), the market linkage among different assets (Chan et al, 2011), the impact of macroprudential policy on housing prices (Shi et al, 2013;Mendicino and Punzi, 2014), the role of housing markets for macroeconomy (Iacoviello, 2005;Musso et al, 2011). missing, and unequally spaced observations.…”

Section: Introductionmentioning

confidence: 99%

New methodology for constructing real estate price indices applied to the Singapore residential market

Jiang

Phillips

2015

Journal of Banking & Finance

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This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and

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Asset market linkages: Evidence from financial, commodity and real estate assets

Cited by 245 publications

References 36 publications

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Cointegration with Regime Shift between Gold and Financial Variables

New methodology for constructing real estate price indices applied to the Singapore residential market

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