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Title: Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy
Authors: Argyroudis, George S.
Siokis, Fotios M.
Type: Article
Subjects: FRASCATI::Social sciences
FRASCATI::Engineering and technology
Keywords: Permutation entropy
Sub-prime loan crisis
Complexity–entropy causality plane
Tsallis complexity–entropy curve
Informational efficiency
Issue Date: 15-Jun-2019
Source: Physica A: Statistical Mechanics and its Applications
Volume: 524
First Page: 576
Last Page: 586
Abstract: This paper investigates the impact of the sub-prime loan crisis on the Real Estate Market of Hong-Kong. Based on permutation entropy, complexity–entropy causality plane and Tsallis complexity–entropy curve, we characterize the complexity of the housing indices-both in terms of size and region-and distinguish the level of informational efficiency. By calculating the quantifiers we report that most indices exhibit a behavior equivalent to a persistent stochastic dynamics with Hurst exponents between 0.5 and 0.7. The outbreak of the crisis had changed the dynamical structure of the indices decreasing the level of randomness and increasing considerably their regularity and predictability. Only the index of the Kowloon area seems not impacted by the crisis, exhibiting higher levels of informational efficiency. The results are robust based on the utilization of two different entropy definitions: The Shannon and Tsallis-q entropy. Lastly, with the temporal evolution of the indices, we identify periods where the underlying dynamical structure of the market was impacted by certain events like the SARS epidemic and the imposition of Special Stamp Duty on housing.
ISSN: 0378-4371
Other Identifiers: 10.1016/j.physa.2019.04.052
Appears in Collections:Department of Balkan, Slavic & Oriental Studies

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