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https://ruomo.lib.uom.gr/handle/7000/642
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. |
URI: | https://doi.org/10.1016/j.physa.2019.04.052 https://ruomo.lib.uom.gr/handle/7000/642 |
ISSN: | 0378-4371 |
Other Identifiers: | 10.1016/j.physa.2019.04.052 |
Appears in Collections: | Department of Balkan, Slavic & Oriental Studies |
Files in This Item:
File | Description | Size | Format | |
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Spillover effects of Great Recession.pdf | 1,54 MB | Adobe PDF | View/Open |
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