Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/1043
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. |
URI: | https://doi.org/10.1016/j.qref.2019.05.011 https://ruomo.lib.uom.gr/handle/7000/1043 |
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 |
Files in This Item:
File | Description | Size | Format | |
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manuscript (2).pdf | 746,01 kB | Adobe PDF | View/Open |
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