دانلود رایگان مقاله لاتین همبستگی زمان گرا در بازارهای املاک و مستغلات از سایت الزویر
عنوان فارسی مقاله:
همبستگی های زمان گرا در بازارهای املاک و مستغلات جهانی: GARCH چند متغیره با رویکرد اثرات فضایی
عنوان انگلیسی مقاله:
Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
3. Empirical illustration
3.1. Data description Our data comprise daily prices of real estate index securities in 15 countries for four geographical regions (i.e., Asia Pacific, Europe, Africa, and Latin America) denominated in dollars. The data extracted from the Global Property Research (GPR) database (http://www.globalpropertyresearch.com) covers the period from January 3, 2002 to May 31, 2016, thereby leading to a sample size of 3,709 observations. In particular, the data used for empirical analysis are the historical data of 15 country indices from the GPR 250 index database. The GPR 250 index is a market-weighted total return index that is composed of the 250 most liquid listed property companies in the country concerned and effectively represents of the global real estate market. Thus, the GPR database is a sound choice for investigating the time-varying correlations across real estate markets from an international perspective. 12 Another motivation for collecting data from the database is that it has not been excessively used and may avoid a substantial risk of data-snooping due to the same datasets [28]. The study covers the following 15 national property markets: Australia (AUS), Belgium (BEL), Canada (CAN), France (FRA), Germany (GER), Hong Kong (HKG), Japan (JPN), Netherlands (NED), Philippines (PHI), Singapore (SIN), South Africa (RSA), Sweden (SWE), Switzerland (SWZ), the United Kingdom (GBR), and the United States (US). In this study, we chose these country indices for research because only such indices have a complete sample set in the GPR 250 index during the sample period from 2002 to 2016. For each property index, the continuously compounded return is estimated as 1 100 [ln ln ] t tt r pp , where t p is the closing price on day t. Following, for instance, Ref. [34], we use two-day rolling-average returns in our analysis. Two-day average returns are mindfully utilized that the markets around the world are not open at the same periods. Table 2 presents the country indices investigated in the current study along with descriptive statistics on the two-day rolling average property index returns. We divided the countries into four different regions, namely, Asia Pacific, Europe, Africa, and Latin America, which helps in reflecting the vast differences in property markets that are located in different regions/areas. Table 2 clearly demonstrates that all the real estate markets exhibit an average positive return. As shown by the Jarque–Bera tests, all the property index return series exhibit non-normal characteristics. The characteristics of left skewed and fat tails are also exhibited for all (but four) the property index return series. In addition, the Ljung–Box test shows that all the property index return series exhibit volatility clustering.
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کلمات کلیدی:
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