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Estimating and explaining extreme co-movements in Hong Kong residential property market. / Estimating & explaining extreme co-movements in Hong Kong residential property market

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325649
Date January 2006
ContributorsCheung, Wai Yin., Chinese University of Hong Kong Graduate School. Division of Economics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, x, 141 leaves : ill. ; 30 cm.
CoverageChina, Hong Kong, China, Hong Kong, China, Hong Kong
RightsUse 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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