Spillover Risks in REITs and other Asset Markets

Chiang, Ming-Chu; Sing, Tien Foo; Tsai, I‐Chun

doi:10.1007/s11146-015-9545-9

Cited by 23 publications

(20 citation statements)

References 29 publications

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“…4 For further studies based on this methodology see e.g. Antonakakis and Floros (2016), Chiang et al (2017), and Shahzad, Ferrer, Ballester, and Umar (2017). We observe that each market acts both as a transmitter and a receiver of spillovers during different sub-periods.…”

Section: Resultsmentioning

confidence: 99%

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

Damianov

El-Sayed

2017

SSRN Journal

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Section: Resultsmentioning

confidence: 99%

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

Damianov

El-Sayed

2017

SSRN Journal

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“…Since the unfolding of the recent Russian ruble crisis leading to the dampening of global exports, investigations into the dynamic contemporaneous relationships between different markets have flourished (Demirer et al, 2018a;Capponi, 2016;Diebold et al, 2017;Diebold and Yilmaz, 2015;Diebold and Yılmaz, 2014;Yilmaz et al, 2018;Demirer et al, 2018c;Liu et al, 2017;Malik and Xu, 2017;Vergote, 2016;Badshah, 2018;Liow, 2015;Andrada-Félix et al, 2018;Ghulam and Doering, 2017;Chiang et al, 2017;Badshah, 2018). We complement these studies by investigating the dynamics in a multi-cluster representation.…”

Section: Dynamic Analysismentioning

confidence: 96%

“…The Chinese market is fraught with speculations of a crisis in the market (Forum, 2015;Mauldin, 2017;Elliott, 2017;Chiang et al, 2017;Mao, 2009). The speculations are fuelled further with the building up of 2015-16 stock market crash preceding a pronounced rise in both vulnerability and transmission.…”

Section: Export Crisismentioning

confidence: 99%

“…In our DY spillover analysis, the total spillover index reached an all-time high by the end of the sample for China. A number of papers focused on China as a potential source market (Chiang et al, 2017;Forum, 2015;Elliott, 2017;Mullen, 2017;Mauldin, 2017;Forum, 2015;Cheng, 2017). However, the full visualizations in the crisis maps do not support the conclusion that China is the source of vulnerability in the system, in fact they point more towards sensitivity to shocks from the GC and OED markets.…”

Section: Crisis Mapsmentioning

confidence: 99%

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Crisis transmission: Visualizing vulnerability

Dungey

Islam

Volkov

2020

Pacific-Basin Finance Journal

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This paper develops a means of visualizing the vulnerability of complex systems of financial interactions around the globe using Neural Network clustering techniques. We show how time-varying spillover indices can be translated into two dimensional crisis maps. The crisis maps have the advantage of showing the changing paths of vulnerability, including the direction and extent of the effect between source and affected markets. Using equity market data for 31 global markets over 1998-2017 we provide these crisis maps. These tools help portfolio managers and policy makers to distinguish which of the available tools for crisis management will be most appropriate for the form of vulnerability in play.

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“…However, we believe that the time-varying process of spillovers is especially appropriate for the Chinese housing market. Moreover, this time-varying estimation has been applied in many fields, for example the integration of global and China’s stock markets (Zhou, 2012), spillovers among Greater China real estate markets (Liow, 2014), the relationship between national and regional housing markets (Tsai, 2015), spillovers among different assets (Chiang et al, 2017) and spillovers among G7 countries involving four assets, namely, stock, real estate, bond and foreign exchange (Liow et al, 2018). Therefore, we shall employ the DY spillover index to investigate the evolution of housing spillovers among China’s mega cities.…”

Section: Literature Reviewmentioning

confidence: 99%

Time-varying spillovers among first-tier housing markets in China

Chen

Chiang

2019

Urban Studies

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Numerous efforts have over the last few years been devoted to studying spillovers (ripple effects) among cities as a means of evaluating overheated housing markets. What seems to be lacking, however, is the application of a rolling-window approach to further explore time-varying spillovers in a timely manner in order to look more closely at a housing market with Chinese characteristics; for example, a market with rapidly increasing prices and a sequence of policy recommendations. By focusing on total, directional and net spillovers, and using 2000–2017 monthly housing price data across six Chinese cities, this study’s results indicate that time-varying spillovers provide a better understanding of the interactions among first-tier cities. It is interesting to note that, following the downside risk faced by the economy in 2014, the spillovers among cities have been abruptly transformed into those exhibiting bilateral co-movements based on high total spillovers and low net spillovers, and these results are also confirmed by the frequency dynamics of spillovers. Based on the above, there is sufficient evidence to conclude that the housing frenzies in China, which have become a national-level issue, deserve a more explicit macro-control policy in relation to real estate assets.

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Spillover Risks in REITs and other Asset Markets

Cited by 23 publications

References 29 publications

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

Crisis transmission: Visualizing vulnerability

Time-varying spillovers among first-tier housing markets in China

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