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Abstract This paper is the pioneer research considering impacts of new residential stamp duty on TOM. This paper covers space and time information of property transaction via spatial–temporal model, which overcomes the deficits of previous studies by only capturing temporal information. A spatial model selection scheme is adopted in this paper which largely reduces the subjective model selection bias. The results of this paper enable to test and support the important housing theory: when the new residential stamp duty is executed, buyers' options are limited then TOM is reduced. The reduced TOM implied that buyers intend to suffer high transaction tax of the property on the condition that new residential stamp duty is enforced. They believe that performance of property asset still outperforms the other investment vehicles in Hong Kong. The results of this paper provide valuable information on policy making. Highlights • It covers space and time information of housing transaction by research method. • It overcomes the deficits of previous paper by only capturing temporal information. • A spatial model selection scheme is adopted which reduces the estimation bias. • The results enable to test and support the important housing theory. [ABSTRACT FROM AUTHOR]

Since the Shanghai–Hong Kong Stock Connect (“the Connect”) was launched in late 2014, more and more Mainland investors have invested in Hong Kong listed shares, and vice versa, increasing the transaction volume of the stock market on both sides. However, only a few studies investigated how the Shanghai–Hong Kong Stock Connect affected the pricing dynamics of stocks listed in both Shanghai and Hong Kong. Applying linear regression, this study investigates how the Connect affects the H-share discounts of 12 stocks cross-listed in Shanghai and Hong Kong. A new feature of our model is that we add a dummy variable so as to be the first study to examine the effect of the China financial crisis on the A-H premium of the stocks. We find that the A-H premium of all stocks widens significantly after the Connect is launched, implying immatureness or even inefficiency of China’s financial market. Furthermore, the result shows that trading activities in the mainland market affects the A-H premium more significantly than trading activities in the Hong Kong market do. This implies that China’s financial market plays a dominant role in the Connect. [ABSTRACT FROM AUTHOR]

This study establishes a new framework which combines the recursive model with the Fractionally Integrated Vector Error Correction Model (FIVECM) to investigate the cointegration relationship among 9 securitized real estate indices, which are divided into three groups: Asian, European and North American groups. Our new combined framework has the advantage of reflecting the changes in cointegration dynamics over a period of time instead of a single result for the whole period. The results show that the three groups of markets follow a similar cointegration trend: the cointegration relationship gradually increases before the global financial crisis, reaches a peak during the crisis, and dies down gradually after the crisis. However, cointegration among Asian and European countries occurs at a much later time than cointegration among North American countries does, showing that North America is the source of cointegration, while Asia and Europe are the recipients. This study has important implications to investors and related authorities that investors can adjust their portfolio according to the test results to reduce their risk, while related authorities can take appropriate measures to stabilize the economy and mitigate the effects of financial crises. [ABSTRACT FROM AUTHOR]

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. [Copyright &y& Elsevier]

Abstract: This study investigates property securities bubbles and crashes by using a dynamic mathematical methodology developed from the previous research (Watanabe et al. 2007a, b ). The improved model is used to detect the bubble and crash periods in five international countries/cities (namely, United States, United Kingdom, Japan, Hong Kong and Singapore) from Jan, 2000 to Oct, 2008. By this model definition, we are able to detect the beginning of each bubble period even before it bursts. Meanwhile, the empirical results show that most of property securities markets experienced bubble periods between 2003 and 2007, and crashes happened in Apr 2008 triggered by the Subprime Mortgage Crisis of US. In contrast, Japan suffered the shortest bubble period and no evidence has documented the existence of crash there. [Copyright &y& Elsevier]

Abstract: In the literature, studies on real estate market were mainly concentrating on the relation between property price and some key factors. The trend of the real estate market is a major concern. It is believed that changes in trend are signified by some jump points in the property price series. Identifying such jump points reveals important findings that enable policy-makers to look forward. However, not all jump points are observable from the plot of the series. This paper looks into the trend and introduces a new approach to the framework for real estate investment success. The main purpose of this paper is to detect jump points in the time series of some housing price indices and stock price index in Hong Kong by applying the wavelet analysis. The detected jump points reflect to some significant political issues and economic collapse. Moreover, the relations among properties of different classes and between stocks and properties are examined. It can be shown from the empirical result that a lead-lag effect happened between the prices of large-size property and those of small/medium-size property. However, there is no apparent relation or consistent lead in terms of change point measure between property price and stock price. This may be due to the fact that globalization effect has more impact on the stock price than the property price. [Copyright &y& Elsevier]

This study investigates contagion among securitized real estate and general equity indices of the U.K., France, Germany, the U.S., Hong Kong and Japan, after the Brexit referendum in June 2016. We combine the case-resampling bootstrap method with the coskewness and cokurtosis test, and apply a new approach by taking the interquartile mean as the estimator. The interquartile mean has advantages over both mean and median that it is insensitive to outliers and is a distinct parameter based on a large number of observations from the dataset. The case-resampling bootstrap method shows less significant evidence of contagion than the normal methods do. If we take the interquartile mean as the estimator, the effect of contagion is further diminished when compared with the method of taking the median as the estimator. Moreover, the effect of contagion is larger on the western economies than on the Asian economies, and there is more significant evidence of contagion on the general equity markets than on the securitized real estate markets. This has an important implication to investors that they should diversify their portfolio to reduce risk. [ABSTRACT FROM AUTHOR]

In the past, many investors believed in the "buy-and-hold" strategy based on the efficient market hypothesis (EMH). However, since the global financial crisis in 2008, there has been more and more criticism on the EMH. As a result, many people attempted to find a trading strategy to outperform "buy-and-hold". In particular, Hui and Chan (2017) construct a generalized time-dependent strategy and test it on 12 stock indices, but they show mixed results. In light of this, this study constructs two new trading strategies. Instead of buying or selling the stock index immediately when the estimator of Shiryaev–Zhou index μ ˆ i n changes sign as in Hui and Chan (2017)'s strategy, we wait until μ ˆ i n remains at the same sign for two or three consecutive days before buying or selling the stock index for our new strategies. This reduces the number of times of trading the stock index for our strategies. We apply our strategies on six securitized real estate indices and six general equity indices. The results show that our newly constructed Strategy 3 (after μ ˆ i n changes sign, we wait until μ ˆ i n remains at the same sign for three consecutive days before changing our buying/selling position) outperforms the other two strategies in overall, especially when transaction costs exist. This study can act as a reference for investors to formulate better trading strategies to earn more profit in this globalized modern financial market with increasing market fluctuations. • We construct two new trading strategies. • We apply our strategies on 12 stock indices. • Strategy 3 outperforms the other two strategies in overall. • This study can help investors to improve their trading strategies. [ABSTRACT FROM AUTHOR]

This paper investigates the housing market dynamics based on the individual choices of tenants and homeowners. We integrate Han (2008)'s individual homeowners' transaction choice model with tenants' housing tenure choice into a single, new model, and take tenants' and homeowners' decision into account jointly. As a result, our new model can capture the interaction between the transaction and rental markets and hence is more realistic. The model is applicable to Hong Kong and other countries of which the rental market is a significant proportion of the whole property market. We solve the new model in an analytical way. In addition, we conduct an agent-based simulation on the model. Compared with Han (2008)'s hump-shaped life-cycle paths, our results show that the life-cycle paths are irregular. Nevertheless, the middle-income households are least affected by housing price risk. Moreover, the average Time on Market (TOM) is significantly positively affected by housing vacancy rate under the exogenous price assumption. Finally, the trend of homeownership rate in a relatively closed market is not significantly affected by the specific housing price or rent process. Policy makers can make use of our model to implement more appropriate housing policies to regulate the housing market. • We integrate Han (2008)'s model with tenants' choice into a single, new model. • We conduct an agent-based simulation on the model. • The middle-income households are least affected by housing price risk. • The average time on market is positively related to the vacancy rate. • The simulated homeownership rate fits well with the actual rate. [ABSTRACT FROM AUTHOR]