Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets
AbstractCurrently, there exists relatively little research on the influence that the 1997 Asian financial crisis has had upon capital flows within the securitized property market and the associated long run implications of it. This paper examines the impact that the crisis has had upon the integration and dynamic links between a number of Asia-Pacific real estate markets. This is achieved through the use of multivariate cointegration analysis that determines and accounts for structural breaks endogenously. The procedures used include those developed by Inoue (1999) and Johansen, Mosconi and Nielsen (2000). The results show that the integration of Asia-Pacific property markets is prevalent despite a structural shift, and that the benefits to securitized real estate diversification maybe far less than originally percieved. These results are a particularly important finding for fund managers concerned with the impact of globalization on the performance of their real estate portfolios.
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Bibliographic InfoPaper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 121.
Date of creation: 01 Oct 2002
Date of revision:
cointegration; structural breaks; asian financial crisis; real estate markets;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F30 - International Economics - - International Finance - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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