Interactions Between Housing Market and Stock Market in the United States: A Markov Switching Approach

Chiang, Ming-Chu; Sing, Tien Foo; Wang, Long

doi:10.1080/08965803.2020.1837604

Cited by 8 publications

(6 citation statements)

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“…The AIC of the model is -27.6384 and the highest for the MSIAH (2)-VAR(1), the log-likelihood is 3389.330 and is the highest for the MSIAH (2)-VAR(1). The analysis indicates that the MSIAH (2)-VAR (1) specification outperforms the other regime-switching models, similar to Roubaud and Arouri (2018) and (Chiang et al, 2020). Several studies have shown that a two-state MS model is sufficient to capture the regime-switching behaviour in financial time series (Balcilar et al, 2015).…”

Section: Regime-switching Behaviour Of Asset Market Returns: Prelimin...mentioning

confidence: 90%

“…Furthermore, the existing literature has investigated the association between two or three assets at a time, determining the relationship between stocks and bonds (Christiansen and Ranaldo, 2007;Baur et al, 2009;Tachibana, 2020), stocks and currency ( (Jebran and Iqbal, 2016;Dong and Yoon, 2018), stocks, bonds and REITs (Yang, Zhou and Leung, 2012;Chiang et al, 2020) and stocks and commodities (Shahzad, Raza, Shahbaz and Ali, 2017;Morema and Bonga-Bonga, 2020;Mensi, Al Rababa'a, et al, 2021). The testing of more than three markets (Papavassiliou, 2014;Chang et al, 2016;Guidolin et al, 2019) at a time is becoming more popular, as multiasset portfolios become a preferred portfolio diversification strategy.…”

Section: Review Of the Empirical Literaturementioning

confidence: 99%

“…Liow and Ye (2018) and Dua and Tuteja (2021) showed that the relationship between asset returns changes depending on market conditions. The changing economic state affects expected returns, and the correlation between asset returns in normal states and crisis states varies over time (Forbes et al, 2002;Baur and Lucey, 2009;Balcilar, van Eyden, Uwilingiye and Gupta, 2017;Chiang, Sing and Wang, 2020). It is, therefore, important for portfolio managers to be aware of how markets react in different market states and the change in the relationship between the different assets following a change in the market state.…”

Section: Introductionmentioning

confidence: 99%

“…Although there is vast literature on asset market linkages (Papavassiliou, 2014;Guidolin et al, 2019;Antonakakis et al, 2020;Chiang et al, 2020), the cross-market co-movement between South African asset markets has not been explored extensively. Moreover, there are very few studies that have examined the cross-asset interdependence (stock, bond, exchange rate, housing, commodities) in emerging markets under changing market conditions.…”

Section: Introductionmentioning

confidence: 99%

“…),Chiang et al (2020) andYousefi and Najand (2022) who found that the low volatility regime is more persistent in comparison to the high volatility regime.The turning point of the regimes is determined from the smoothed probabilities of the bull market regime displayed in Figure3.2. These periods coincide with economic, financial and socio-political factors globally and domestically in South Africa.…”

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confidence: 99%

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Country risk components and financial asset markets interdependence: evidence from South Africa

Nhlapho

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I, Rethabile Nokulunga Nhlapho, declare that: (i) The research reported in this dissertation/thesis, except where otherwise indicated, is my original research.(ii) This dissertation/thesis has not been submitted for any degree or examination at any other university.(iii) This dissertation/thesis does not contain other persons' data, pictures, graphs or other information, unless specifically acknowledged as being sourced from other persons.(iv) This dissertation/thesis does not contain other persons' writing, unless specifically acknowledged as being sourced from other researchers. Where other written sources have been quoted, then: a) their words have been re-written but the general information attributed to them has been referenced; b) where their exact words have been used, their writing has been placed inside quotation marks, and referenced.(v) Where I have reproduced a publication of which I am author, co-author or editor, I have indicated in detail which part of the publication was actually written by myself alone and have fully referenced such publications.(vi) This dissertation/thesis does not contain text, graphics or tables copied and pasted from the Internet, unless specifically acknowledged, and the source being detailed in the dissertation/thesis and in the References sections.Signed: ____________________ iii ACKNOWLEDGEMENTS I would like to thank and praise God for sustaining me, and for giving me the courage and faith throughout this academic journey. My sincerest gratitude to my supervisors, Prof Muzindutsi and Dr Obalade, for their invaluable support and comments. Your patience and expert guidance played a critical role in the completion of this dissertation. Thank you for your continuous commitment to my growth and your guidance, that helped to mold this dissertation into a significant contribution to the field. I am also thankful to the School of Accounting, Economics and Finance, and the Macroeconomics Research Unit (MRU) for their assistance in providing resources and facilitating the research process. I am deeply grateful to the Finance team for a encouraging words and motivating me to push through. A special thank you to Prof MCullough, for her insights and consistent encouragement. Thank you for taking the time to read through my work and providing guidance. Thank you to Dr R Partab for her valuable input and the motivational quotes that lifted my spirits. I extend my deepest appreciate to my family for their support throughout my academic journey. Thank you for your prayers, sacrifices and guidance over the years. I would like to express my gratitude to my mom -Mrs Nelisiwe Nhlapho, my sister -Ms Dimakatso Nhlapho, my aunts -Ms Phindi Zungu and Mrs Phumzile Zibisi, uncle -Mr Zibisi, and my cousins -Thula Zungu and Sthe Zungu. A special note of thanks to my extended family for their support; uncles, aunts, sisters, brothers and cousins. I sincerely hope I have made each of you proud! I wish to convey my sincerest gratitude to all those who have supported and guided me throughout this journ...

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Section: Regime-switching Behaviour Of Asset Market Returns: Prelimin...mentioning

confidence: 90%

Section: Review Of the Empirical Literaturementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Country risk components and financial asset markets interdependence: evidence from South Africa

Nhlapho

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Listed Real Estate as an Inflation Hedge Across Regimes

Muckenhaupt,

Hoesli,

Zhu

2023

J Real Estate Finan Econ

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This paper examines the inflation-hedging capability of listed real estate (LRE) companies in the US from 1975 to 2023, and in three other economies—the UK, Japan, and Australia—from 1990 to 2023. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during turbulent periods. In stable periods, LRE provides good protection against inflation. In the long term, LRE offers a good hedge against expected inflation and shows a superior inflation hedging ability than stocks. Additionally, we identify inflation-hedging portfolios by minimizing the expected shortfall. This inflation-hedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.

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Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causality

Chen

Chiang

2022

Finance Research Letters

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Interactions Between Housing Market and Stock Market in the United States: A Markov Switching Approach

Cited by 8 publications

References 62 publications

Country risk components and financial asset markets interdependence: evidence from South Africa

Country risk components and financial asset markets interdependence: evidence from South Africa

Listed Real Estate as an Inflation Hedge Across Regimes

Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causality

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