Journal article
Dynamic co-movement and interdependency among real estate index in China: a multi-scale multiple correlation analysis
International journal of housing markets and analysis, v 14(5), pp 1042-1061
12 Nov 2021
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
Purpose
This study aims to investigate the dynamic co-movement and interconnection among 69 security investment indices in China using the multi-time scale framework.
Design/methodology/approach
The authors first use the multiple coherence analysis method to exhibit the degree of relationships among the variables under study. In addition, the wavelet multiple correlation and wavelet multiple cross-correlation analyses are used to examine the time-frequency synchronization interdependence structure among the variables.
Findings
From the empirical findings, one may infer less opportunity for portfolio diversification at higher time scales. Obviously, at these scales, the authors find that the 69 Chinese investment indices generate a simple security investment class, as indicated by higher interconnection between the indices.
Research limitations/implications
Further research can increase the sample size to re-investigate the empirical relationship for security investment indices.
Practical implications
In the nutshell, the results demonstrate the potential for Chinese investors to invest in security investment indices to earn from portfolio diversification at lower time frequencies. The Chinese investment market indices under study yield further opportunities of portfolio diversification toward the short-term investors than the long-term investors.
Originality/value
To the best of the authors' knowledge, this is the first paper to examine the dynamic co-movement and interconnection for security investment indices in China.
Metrics
Details
- Title
- Dynamic co-movement and interdependency among real estate index in China: a multi-scale multiple correlation analysis
- Creators
- Rabeh Khalfaoui - Shaqra Univ, Coll Sci & Humanities, Al Dawadmi, Saudi ArabiaAviral Kumar Tiwari - Rajagiri Business Sch, Dept Finance & Econ, Valley Campus, Kochi, Kerala, IndiaFaisal Alqahtani - Minist Finance, Macro & Fiscal Policies Unit, The Hague, Saudi ArabiaShawkat Hammoudeh - Drexel UniversitySuleman Sarwar - Univ Jeddah, Finance & Econ Dept, Jeddah, Saudi Arabia
- Publication Details
- International journal of housing markets and analysis, v 14(5), pp 1042-1061
- Publisher
- Emerald Group Publishing
- Number of pages
- 20
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000631050700001
- Scopus ID
- 2-s2.0-85102750315
- Other Identifier
- 991019167829504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Urban Studies