A Web Of Shocks: Crises Across Asian Real Estate Markets
AbstractThe behaviour of real estate markets during the 1997–98 Financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal that diversification opportunities prior to the crisis are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing evidence that investment in multiple asset classes provides some protection from large market downturns. Copyright Springer Science + Business Media, Inc. 2006
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Bibliographic InfoArticle provided by Springer in its journal The Journal of Real Estate Finance and Economics.
Volume (Year): 32 (2006)
Issue (Month): 3 (May)
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Web page: http://www.springerlink.com/link.asp?id=102945
Latent factor; Contagion; Indirect estimation; Real estate; G14; F36; C30;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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