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Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy

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  • Argyroudis, George S.
  • Siokis, Fotios M.

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.

Suggested Citation

  • Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    • Handle: RePEc:eee:phsmap:v:524:y:2019:i:c:p:576-586
    DOI: 10.1016/j.physa.2019.04.052
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    2. Vincenzo Del Giudice & Pierfrancesco De Paola & Francesco Paolo Del Giudice, 2020. "COVID-19 Infects Real Estate Markets: Short and Mid-Run Effects on Housing Prices in Campania Region (Italy)," Social Sciences, MDPI, vol. 9(7), pages 1-18, July.
    3. Yuan, Ying & Du, Xinyu, 2023. "Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
    4. Lahmiri, Salim & Bekiros, Stelios, 2020. "Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).

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