期刊论文

Lai, Yongzeng

英文

Physica A-Statistical Mechanics and its Applications

0378-4371

2019

534

122035

10.1016/j.physa.2019.122035

National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71871030, 71501069]; Provincial Natural Science Foundation of Hunan, ChinaNatural Science Foundation of Hunan Province [2017JJ3330]; Hu-Xiang Youth Talents Program of Hunan, China; Scientific Research Project of Hunan Provincial Education Department in China [18A037, 18B128]

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At present, as China promotes the virtuous circle of housing leasing market, Real Estate Investment Trusts (REITs) has become an important investment and financing tool. In this paper, Hurst exponent is used to examine the efficiency of Hong Kong REITs market in China, and time-varying Hurst exponent is used to explore the dynamic changes of its efficiency. The empirical results of the Hong Kong REITs market show that the Hong Kong REITs market has not yet reached weak efficiency, and it is basically in a state of inefficiency from November 25 2005 to October 10, 2018, with only three times ap...