The long-term linkages between direct and indirect property in Australia

2015 ◽  
Vol 33 (4) ◽  
pp. 374-392 ◽  
Author(s):  
Jaime Yong ◽  
Anh Khoi Pham
Keyword(s):  
Moving Average ◽  
Property Market ◽  
Short Term ◽  
Content Type ◽  
Property Data ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Asset Portfolio ◽  
Asset Classes

Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.Design/methodology/approach– The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.Findings– The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.Practical implications– The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.Originality/value– The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.

scholarly journals REITs and the Taper Tantrum

2016 ◽  
Vol 34 (5) ◽  
pp. 457-464
Author(s):  
Stephen Lee
Keyword(s):  
Financial Markets ◽  
Real Estate Investment Trust ◽  
Content Type ◽  
Risk Return ◽  
Daily Data ◽  
The Us ◽  
Asset Portfolio ◽  
Asset Classes ◽  
Practical Implications

Purpose – The purpose of this paper is to empirically examine the effect on US stock, bond and real estate investment trust (REIT) prices triggered by the US Federal Reserve Chairman Ben Bernanke’s announcement of a possible intent to unwind, or taper, quantitative easing (QE). In particular, the author assessed whether the effect of the “Taper Tantrum” was fundamental or financial on financial markets. Design/methodology/approach – The methodology used to determine whether the effect of the “Taper Tantrum” was fundamental or purely financial is that suggested by French and Roll (1986) as extended by Tuluca et al. (2003). The analysis is based on daily data for large cap stocks, small cap stocks, long-term bonds and REITs for 18 months before Ben Bernanke’s announcement and for 18 months after the announcement. Findings – The results show that the “Taper Tantrum” had a fundamental, rather than a financial effect on all asset classes, especially so for REITs. Practical implications – The author also found that in the post-taper period following Ben Bernanke’s announcement the correlation of REITs with stocks decreased compared with pre-taper period, whereas the correlation of REITS with bonds increased substantially. In other words, the “Taper Tantrum” had a profound effect on the risk/return benefits of including REITs in the US mixed-asset portfolio. Originality/value – This is the first paper to examine the effect of the “Taper Tantrum” on REITs.

Diversification effect of ship investment funds in South Korea

2019 ◽  
Vol 23 (1) ◽  
pp. 62-74 ◽  
Author(s):  
Jae-Boong Lee ◽  
Su-Han Woo ◽  
Jeong Seok Song ◽  
Byeongchan Seong ◽  
Keun-Sik Park
Keyword(s):  
Stock Prices ◽  
Correlation Coefficients ◽  
Investment Fund ◽  
Short Term ◽  
Investment Funds ◽  
Policy Makers ◽  
Content Type ◽  
Cointegration Tests ◽  
The Government

Purpose The purpose of this paper is to examine the diversification effect of the Korean Ship Investment Fund (KSF) under Markowitz portfolio theory by analyzing short-term and long-term relationships with stocks and bonds. Design/methodology/approach For this purpose, unit root, correlation and cointegration tests are performed. Monthly data from 2004 to 2015 for stocks, bonds and KSFs are obtained for this study. Findings The correlation coefficients indicate that KSFs are uncorrelated with stocks and negatively correlated with bonds, and no long-term equilibrium relationships exist with all three variables by the Johansen and Engle-Granger cointegration tests. Research limitations/implications This paper makes contribution to the literature as follows: first, whereas the previous literature investigated diversification effect of ship investment using freight indices or freight rates which are not able to represent returns from ship investment, this study is the first study to use actual stock prices of the KSFs to the authors’ best knowledge; and second, diversification effect of ship investment represented by KSFs is empirically verified in the both short term and long term. Practical implications Policy-makers and managers of shipping companies can have sound ground that the KSFs are alternative and attractive assets to investors. It is also shown that the KSFs have potential to improve risk and return structure of investors on their own regardless of existence of incentives. Therefore, decisions of policy-makers can be made free from expectations for stronger incentives provided by the government. In addition, those countries that do not have such a ship investment platform may consider introducing a similar ship investment fund in order to revitalize the capital markets of the country. Originality/value This study holds its significance in investigating diversification properties of the KSFs for the first time in Korea since the KSFs were introduced.

Long-Term Equilibrium and Short-Term Dynamics between Metropolitan Housing Markets in China

2014 ◽  
Vol 905 ◽  
pp. 343-347
Author(s):  
Gao Lu Zou ◽  
K.W. Chau
Keyword(s):  
House Prices ◽  
Housing Markets ◽  
Small Sample ◽  
Short Term ◽  
Long Run ◽  
Regional Markets ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Short Run

House prices across cities may form long-term relations. Geographic barriers could lead to lack of short-term dynamics. The paper aims to investigate the long-run equilibrium and/or short-run dynamics betweenmetropolitan house pricesin China. The study introduced two cointegration tests and various small-sample corrections. We conductedthe Toda-Yamamoto Granger causality tests. House prices betweencitiesin most regional markets did notshow long-term relations as well as short-term dynamics. Therefore, geographies andtransport costs between cities could reducethe centrifugal forces of city growth. Metropolitan housing markets are typically local.

scholarly journals Integration of the GCC Stock Markets

2020 ◽  
Vol 11 (5) ◽  
pp. 24
Author(s):  
Turki Alshammari
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Gulf Cooperation Council ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Short Term ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Short And Long Term

This study analyzes the short- and long-term interdependence among the Gulf Cooperation Council (GCC) stock markets, namely, Kuwait, Saudi Arabia, Bahrain, Emirates, and Oman. The study finds a solid long-term relationship among the GCC stock markets and that each market contributes significantly to that relationship. The short-term relationship is also supported through the causality tests as well as through impulse response functions. The analysis reveals the Kuwait stock market to be the most influential during the examined period. Also, a feedback exists between the Saudi and the Emirates stock markets. In order to corroborate the results, an ARDL model is specified and its results confirm the cointegration tests. Overall, the results place doubts against the investment diversification principle.

scholarly journals International Real Estate Review

2014 ◽  
Vol 17 (3) ◽  
pp. 359-394
Author(s):  
Paul Gallimore ◽  
◽  
J. Andrew Hansz ◽  
Wikrom Prombutr ◽  
Ying Zhang ◽  
...  
Keyword(s):  
Real Estate ◽  
Portfolio Diversification ◽  
Portfolio Performance ◽  
Short Term ◽  
Vector Autoregressive ◽  
Real Estate Markets ◽  
Market Portfolio ◽  
Cointegration Tests ◽  
Causality Tests

We investigate long-term cointegrative and short-term causal relations among seven U.S. sectoral REITs. First, cointegration tests identify one long-term cointegrative relation among five of the sectors, which suggests that two of the sectors are outside the cointegrative space. Second, short-term Granger causality tests identify three leading and two following cointegrated sectors. Third, a proposed vector autoregressive model indicates that a stronger cointegrating effect is induced by declining real estate markets and a multivariate sensitivity regression model shows that unexpected inflation significantly and negatively influences the cointegrative disequilibrium. Lastly, our cointegration-based portfolio performance analyses show that the inferior performance of the all-sector market portfolio stems from containing the redundant cointegrated sectors which shatter portfolio diversification.

MULTIFRACTAL FLUCTUATIONS OF JIUZHAIGOU TOURISTS BEFORE AND AFTER WENCHUAN EARTHQUAKE

Fractals ◽  
2013 ◽  
Vol 21 (01) ◽  
pp. 1350001 ◽  
Author(s):  
KAI SHI ◽  
WEN-YONG LI ◽  
CHUN-QIONG LIU ◽  
ZHENG-WEN HUANG
Keyword(s):  
Wenchuan Earthquake ◽  
Moving Average ◽  
Long Term Memory ◽  
Short Term ◽  
Dynamical Mechanism ◽  
Before And After ◽  
Previous State ◽  
Multifractal Behavior ◽  
Multifractal Nature

In this work, multifractal methods have been successfully used to characterize the temporal fluctuations of daily Jiuzhai Valley domestic and foreign tourists before and after Wenchuan earthquake in China. We used multifractal detrending moving average method (MF-DMA). It showed that Jiuzhai Valley tourism markets are characterized by long-term memory and multifractal nature in. Moreover, the major sources of multifractality are studied. Based on the concept of sliding window, the time evolutions of the multifractal behavior of domestic and foreign tourists were analyzed and the influence of Wenchuan earthquake on Jiuzhai Valley tourism system dynamics were evaluated quantitatively. The study indicates that the inherent dynamical mechanism of Jiuzhai Valley tourism system has not been fundamentally changed from long views, although Jiuzhai Valley tourism system was seriously affected by the Wenchuan earthquake. Jiuzhai Valley tourism system has the ability to restore to its previous state in the short term.

The chicken and egg story of a call centre in Malaysia

2021 ◽  
Vol 11 (3) ◽  
pp. 1-25
Author(s):  
Alan Fun-Foo Chan ◽  
Keng-Kok Tee ◽  
Thanuja Rathakrishnan ◽  
Jo Ann Ho ◽  
Siew-Imm Ng
Keyword(s):  
Undergraduate Students ◽  
Call Centre ◽  
Short Term ◽  
Content Type ◽  
Security Technologies ◽  
Academic Level ◽  
Key Account ◽  
Substandard Performance ◽  
Alternative Solutions

Learning outcomes After attempting the case, users are able to: analyse issues and problems faced by a call centre in Malaysia. Determine the root causes of the problems faced by call centre employees and generate alternative solutions to solve the problems faced by the company and to ensure the sustainability of the business. Case overview/synopsis This case was about the challenges faced by Daniel, the General Manager of an integrated security protection system company, Secure First (SF). Despite investing in the latest security technologies, conducting a major overhaul of the procedures, introducing an enhanced digital system at the call centre and providing training to the call agents, it was on the verge of losing its important long-term client due to its substandard performance. The client experienced major losses due to break-ins. After a thorough investigation, the problem surfaced in their call centre. Most of the staff were not familiar with the newly adopted system. The circumstances worsened when many of the call centre’s senior employees were tendering their resignations. The case discusses the aspect of employee satisfaction, staff performance that led to the turnover issue amongst employees in a call centre. The case explores what short-term and long-term strategies could Daniel suggest to change the call centre’s course to retain SF’s key account in times of desperation. Complexity academic level This case has a moderate level of difficulty and may be used in undergraduate students. Supplementary materials Teaching notes are available for educators only. Subject code CSS 6: Human resource management.

Contemporaneous or causal? Evaluating the triumvirate of insolvency risk, capitalization and efficiency in Indian commercial banking

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Navendu Prakash ◽  
Shveta Singh ◽  
Seema Sharma
Keyword(s):  
Cost Efficiency ◽  
Banking Sector ◽  
Generalized Method Of Moments ◽  
Commercial Banking ◽  
Seemingly Unrelated Regression ◽  
Bank Capital ◽  
Short Term ◽  
Content Type ◽  
Insolvency Risk

PurposeThis paper empirically examines the short-term and long-term associations between risk, capital and efficiency (R-C-E) in the Indian banking sector across 2008–2019 to answer the presence of causation or contemporaneousness in the R-C-E nexus.Design/methodology/approachThe paper focuses on three objectives. First, the authors determine short-term causality in the risk–efficiency relationship by studying the simultaneous influence of a wide array of banking risks on DEA-based technical and cost efficiency in static and dynamic situations. Second, the authors introduce bank capital and contemporaneously determine the interplay between R-C-E using seemingly unrelated regression equation (SURE) and three-staged least squares (3SLS). Last, the authors assess stability in inter-temporal associations using Granger causality in an autoregressive distributed lag (ARDL) generalized method of moments (GMM) framework.FindingsThe authors contend that high capital buffers reduce insolvency risk and increase bank stability. Technically efficient banks carry lesser equity buffers, suggesting a trade-off between capital and efficiency. However, capitalization makes banks more technically efficient but not cost-efficient, implying that over-capitalization creates cost inefficiencies, which, in line with the cost skimping hypothesis, forces banks to undertake risk. Concerning causal relationships, the authors conclude that inefficiency Granger-causes insolvency and increases bank risk. Further, steady increases in capital precede technical and cost efficiency improvements. The converse also holds as more efficient banks depict temporal increases in capitalization levels.Originality/valueThe paper is perhaps the first that acknowledges the influence of the “time” perspective on the R-C-E nexus in an emerging economy and advocates that prudential regulations must focus on short-term and long-term intricacies among the triumvirate to foster a stable banking environment.

Labor lawsuits and debt maturity

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Omer Unsal
Keyword(s):  
Chief Executive ◽  
Debt Maturity ◽  
Employee Relations ◽  
Short Term ◽  
Content Type ◽  
Negative Effect ◽  
Debt Market ◽  
Legal Fees

Purpose This paper aims to investigate how firms’ relationships with employees define their debt maturity. The authors empirically test the role of employee litigations in influencing firms’ choice of short-term versus long-term debt. The authors study employee relations by analyzing the importance of the workplace environment on capital structure. Design/methodology/approach The author’s test hypotheses using a sample of US publicly traded firms between 2000 and 2017, including 3,056 unique firms with 4,256 unique chief executive officer, adopting the fixed effect panel model. Findings The authors document that employee litigations have a significant negative effect on the use of short-term debt and a significant positive affect on long-term debt. Employee litigations, along with legal fees, outcomes and charging parties, matter the most in explaining debt maturity. In addition, frequently sued firms abandon the short-term debt market and use less shareholders’ equity to finance their operations while relying more on the longer debt market. Originality/value To the best of the authors’ knowledge, this is the first study to examine the role of employee mistreatment in debt maturity choice. The study extends the lawsuit and finance literature by examining unique, hand-collected data sets of employee lawsuits, allegations, violations, settlements, charging parties, case outcomes and case durations.

The transition of a socio-technical system to a smart grid: illustrated with the Indian electricity network

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lakshminarayana Kompella
Keyword(s):  
Technical System ◽  
Transition Theory ◽  
Short Term ◽  
Indian States ◽  
Content Type ◽  
External Pressures ◽  
Policy Systems ◽  
Transition Trajectory ◽  
Practical Implications

Purpose This paper aims to explain transitions in a socio-technical system characterized by non-economic entities that influence economic activity, i.e. embeddedness and coalitions. The selected socio-technical system is an Indian electric network with an interventionist policy. Its embeddedness and coalitions drive the transition. The insights from such analysis expand socio-technical transition theory and provide valuable insights to practitioners in their policymaking. Design/methodology/approach The authors need to observe the effects of non-economic institutions in their setting. Moreover, in India, the regional policies influence decision-making; therefore, selected two Indian states. The two Indian states, along with their non-economic entities, provided diverse analytic and heuristic views. Findings The findings show that coalitions, with their embeddedness in the absence of any mediating policy systems, act as external pressures and influence innovation and the socio-technical system’s transition trajectory. Their coalitions’ embeddedness follows a shaping, not selection logic. Thereby influence innovations in cumulating as stable designs. Such an approach provides benefits in the short-term but not in the long-term. Research limitations/implications The study selected two states and examined two of the four trajectories. By considering other states, the authors can obtain more renewable energy investments and further insights into the transformational trajectory. Practical implications The study highlights the coalition dynamics specific to the Indian electric power network and its transition trajectories. The non-economic entities influenced transition trajectories, innovation and policymaking of the socio-technical system. Originality/value The study expands the socio-technical transition theory by including embeddedness. The embeddedness brings a shaping logic instead of a selection logic.

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