Cheung Wai Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves [137]-141). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii / Table of Contents --- p.iv-v / List of Tables --- p.vi / List of Figures --- p.vii-ix / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review --- p.8 / Chapter 2.1 --- Studies of Inter-temporal Stability of Correlation --- p.9 / Chapter 2.2 --- Studies of Contagion --- p.14 / Chapter 2.2.1 --- Sample Splitting Approach --- p.15 / Chapter 2.2.2 --- Time Series Approach --- p.20 / Chapter 2.3 --- Studies of Correlation Asymmetry --- p.24 / Chapter 2.3.1 --- Semi-correlation Analysis --- p.25 / Chapter 2.3.2 --- Extreme Value Theory --- p.26 / Chapter 2.3.3 --- Regression Approach --- p.27 / Chapter 2.3.4 --- Others --- p.27 / Chapter Chapter 3 --- Data Description --- p.30 / Chapter 3.1 --- Economic Property Research Center (EPRC) Dataset --- p.30 / Chapter 3.2 --- Measurement of Housing Price --- p.33 / Chapter 3.3 --- Measurement of Trading Volume --- p.37 / Chapter Chapter 4 --- Methodology --- p.38 / Chapter Chapter 5 --- Empirical Results --- p.43 / Chapter 5.1 --- Overview of the Dataset --- p.43 / Chapter 5.2 --- Rolling Window Estimation --- p.45 / Chapter 5.2.1 --- Count of Correlation Coefficients in Each Window --- p.45 / Chapter 5.2.2 --- The Summary Statistics of Correlation Coefficients --- p.47 / Chapter 5.2.3 --- Correlation Distribution in Two Selected Windows --- p.53 / Chapter 5.2.4 --- Discussion and Some Further Evidence --- p.57 / Chapter 5.2.5 --- Within-group and Inter-group Correlations --- p.60 / Chapter 5.3 --- Correlation Asymmetry --- p.62 / Chapter 5.4 --- Does High Correlation in Rate of Return Imply High Correlation in Trading Volume? --- p.64 / Chapter 5.5 --- Robustness Check --- p.66 / Chapter Chapter 6 --- Conclusion --- p.73 / Appendix I A Summary of Hedonic Pricing Equation --- p.77 / Appendix II Illustration of Composition Effect --- p.79 / Appendix III A Summary of Calculating Correlation Coefficient --- p.81 / Appendix IV CLMX Variance Decomposition --- p.84 / Appendix V Tables --- p.87 / Appendix VI Figures --- p.94 / List of References --- p.137
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325649 |
| Date | January 2006 |
| Contributors | Cheung, Wai Yin., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 141 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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