唧唧堂编辑二朵2014-05-15 6:23 PM

金融海啸期对新兴房地产市场因果关系变化的调查  Investigating the change of causality in emerging property markets during the financial tsunami

论文摘要 

在本文中,我们为协方差结构采用了多变量CUSUM(累计总和)测试以及重整化部分定向相干(PDC)方法来捕捉五个新兴亚洲国家和地区(泰国,马来西亚,韩国,中国大陆和台湾)房地产股票指数结构化的因果变化。同时我们开发了新方法使重整化PDC比较更直观,以及一系列评定标准来测量结果。我们的一个研究结果表明,中国房地产股市五大市场因果关系结构的地区影响力在金融海啸影响下已产生。

Abstract 

In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami. 
 
论文要点 

我们研究了五个新兴市场因果结构的变化。 
我们利用累积和检验来检测金融海啸爆发点。 
我们开发了基于部分定向相干的方法进行因果关系的比较。 
我们发现中国市场的地区影响力已经浮现。 
在外生危机假设下危机影响依赖于市场规模。

Highlights 

We examine the causality change among five emerging markets. 
We utilize the cumulative sum test to detect the outburst point of the financial tsunami. We develop a method based on partial directed coherence to make the comparison of causality. 
We find that a regional influence of Chinese market has arisen. 
Crisis effects depend on the magnitude of the market under an exogenous crisis assumption. 

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