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Long memory and structural breaks in commodity futures markets (2010)
Journal Article
Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31(11), 1076-1113. doi:10.1002/fut.20502

This study employs daily data for 14 commodities and three financial assets 1990-2009 to explore the impact of the time series properties of the futures-spot basis and the cost of carry on forward market unbiasedness. The main result is that the basi... Read More about Long memory and structural breaks in commodity futures markets.

Open interest, cross listing, and information shocks (2010)
Journal Article
Rhodes, M., Aguenaou, S., & Gwilym, O. A. (2011). Open interest, cross listing, and information shocks. Journal of Futures Markets, 31(8), 755-778. doi:10.1002/fut.20494

This study examines the characteristics and behavior of the demand for hedging, proxied by open interest, for the cross-listed Euribor futures contract traded at Euronext-LIFFE and Eurex. The study is unique in its investigation of the simultaneous d... Read More about Open interest, cross listing, and information shocks.

Crashes in real estate prices: causes and predictability (2010)
Journal Article
Xiao, Q. (2010). Crashes in real estate prices: causes and predictability. Urban studies, 47(8), 1725-1744. doi:10.1177/0042098009356482

Large swings in real estate prices that end in devastating crashes have been witnessed by many countries in the past two decades. To curtail the damage of these crashes, it is imperative that we understand their causes. This study proposes a model th... Read More about Crashes in real estate prices: causes and predictability.

The residential market of Hong Kong: rational or irrational? (2010)
Journal Article
Xiao, Q., & Liu, Y. (2010). The residential market of Hong Kong: rational or irrational?. Applied economics, 42(7), (923-933). doi:10.1080/00036840701720960. ISSN 0003-6846

The current study attempts to investigate the proposition that Hong Kong residential market is only driven by a rational speculative bubble, in addition to fundamentals. The fundamentals are chosen according to the present value model, but will accou... Read More about The residential market of Hong Kong: rational or irrational?.

Risk and predictability of Singapore's private residential market (2010)
Journal Article
Xiao, Q., & Huang, W. (2010). Risk and predictability of Singapore's private residential market. Quantitative finance, 10(5), (529-543). doi:10.1080/14697680903236113. ISSN 1469-7688

This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present value framework, and propose an u... Read More about Risk and predictability of Singapore's private residential market.