ORCID Profile
0000-0002-2678-4515
Current Organisation
Deakin University
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Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 09-2020
Publisher: Springer Science and Business Media LLC
Date: 02-09-2016
Publisher: Informa UK Limited
Date: 07-2019
Publisher: MDPI AG
Date: 20-01-2019
DOI: 10.3390/JRFM12010016
Abstract: : This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in the respective economies, it is linked to the stock market. Earlier research does not have satisfactory results, because traditional methods average different relationships over various time and frequency domains between securitized real estate and local stock markets. According to our novel wavelet analysis, the relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less sensitive to the domestic stock markets in the long-run in recent years. Moreover, securitized real estate markets appear to lead stock markets in the short run, whereas stock markets tend to lead securitized real estate markets in the long run, and to a lesser degree medium-term. Finally, we find incomplete real estate and local stock market integration among the five developed economies, given only weaker long-run integration beyond crisis periods.
Publisher: Emerald
Date: 04-02-2019
DOI: 10.1108/JPIF-07-2018-0048
Abstract: The purpose of this paper is to revisit the dynamic linkages between the US and the national securitized real estate markets of each of the nine Asian-Pacific (APAC) economies in time-frequency domain. Wavelet decomposition via multi-resolution analysis is employed as an empirical methodology to consider time-scale issue in studying the dynamic changes of the US–APAC cross-real estate interdependence. The strength and direction of return correlation, return exogeneity, shock impulse response, market connectivity and causality interactions change when specific time-scales are involved. The US market correlates with the APAC markets weakly or moderately in the three investment horizons with increasing strength of lead-lag interdependence in the long-run. Moreover, there are shifts in the net total directional volatility connectivity effects at the five scales among the markets. Given the focus of the five approaches and associated indicators, the picture that emerges from the empirical results may not completely uniform. However, long-term investors and financial institutions should evaluate the time-scale based dynamics to derive a well-informed portfolio decision. Future research is needed to ascertain whether the time-frequency findings can be generalizable to the regional and global context. Additional studies are required to identify the factors that contribute to the changes in the global and regional connectivity across the markets over the three investment horizons. This study has successfully decomposed the various market linkage indicators into scale-dependent sub-components. As such, market integration in the Asia-Pacific real estate markets is a “multi-scale” phenomenon.
Publisher: Elsevier BV
Date: 11-2013
Publisher: Elsevier BV
Date: 05-2023
Publisher: American Society of Civil Engineers
Date: 23-07-2012
Publisher: Wiley
Date: 18-02-2021
Abstract: We generalize the classic Williams (1998, Review of Financial Studies , 11 , 239–280) brokerage model by introducing diffused effort and asset heterogeneity. The term “diffused effort” refers to the fact that an agent can cross‐utilize effort spending on one listing to another . One counterintuitive finding in Williams' paper is the absence of the agency problem . As a special case in our model, we recover the agency problem. We demonstrate the positive externality due to the diffused effort and show it depends on the agent's inventory size. Hence, there is a trade‐off between agents' effort committed to existing listings and expanding network size by soliciting new listings.
Publisher: Elsevier BV
Date: 03-2013
Publisher: Informa UK Limited
Date: 02-01-2019
Publisher: Informa UK Limited
Date: 23-09-2020
Publisher: Springer Science and Business Media LLC
Date: 20-07-2006
Publisher: Elsevier BV
Date: 2021
Publisher: Elsevier BV
Date: 09-2014
No related grants have been discovered for Qiang Li.