Extreme Co-movements between Real Estate and Equity Markets in China
This paper examines whether the painvise co-movement between real estate and equity markets in China can be correctly quantified by copulas. Specification and identification of dependencies between financial assets is a key ingredient in almost all financial applications such as portfolio management, risk assessment, pricing, and hedging, etc. Copulas allow us to construct models that go beyond the standard ones at the level of dependence. When comparing the real estate indices and equity market indices in China, our results show that series in both Shanghai Exchange and Shenzhen Exchange exhibit tail dependence with their respective equity indices. Time-varying SJC copula is the optimal dependence structure while illustrate the extreme co-movement between real estate and equity markets in China.
copula real estate tail dependence
Chiu-Lan Chang Ming Fang
Department of Finance, National Cheng Chung University Chaiyi,Taiwan Department of International of Business Studies,National Chi Nan University Nantou County, Taiwan
国际会议
上海
英文
579-583
2011-03-11（万方平台首次上网日期，不代表论文的发表时间）