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Title: Feedback trading strategies and long-term volatility
Authors: Kyriakou, Maria
Babalos, Vassilios
Kiohos, Apostolos
Koulakiotis, Athanasios
Type: Article
Subjects: FRASCATI::Social sciences
FRASCATI::Social sciences
Keywords: Feedback trading
Long-memory volatility
Real estate markets
Financial crisis
Market risk analysis
Issue Date: 2020
Source: The Quarterly Review of Economics and Finance
Volume: 76
First Page: 181
Last Page: 189
Abstract: The aim of the present study is to examine securitized real estate market efficiency under a new perspective. We begin by investigating the effect of feedback trading strategies on long-term market volatility of three hypothetical portfolios of securitized real estate markets. To this end, the original FIGARCH and an extended GJR-FIGARCH methodology are employed. Our results reveal that positive feedback trading occurs across the three portfolios casting doubt on real estate market efficiency. Moreover, evidence against effciency is amplified by the documented volatility asymmetry. During the recent global financial crisis, the European portfolio of Italy and Sweden favors negative (symmetric and asymmetric) strategies with volatility (symmetric and asymmetic) being present and affecting the autocorelation of portfolio returns. Our results entail significant implications for market regulators and investors.
ISSN: 1062-9769
Other Identifiers: 10.1016/j.qref.2019.05.011
Appears in Collections:Department of Balkan, Slavic & Oriental Studies
Department of International and European Studies

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