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A Web of Shocks: Crises Across Asian Real Estate Markets

Citation

Bond, S and Dungey, MH and Fry, R, A Web of Shocks: Crises Across Asian Real Estate Markets, Journal of Real Estate Finance and Economics, 32, (3) pp. 253-274. ISSN 0895-5638 (2006) [Refereed Article]


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The original publication is available at www.springerlink.com

DOI: doi:10.1007/s11146-006-6800-0

Abstract

The 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.

Item Details

Item Type:Refereed Article
Keywords:Latent factor - Contagion - Indirect estimation - Real estate
Research Division:Economics
Research Group:Applied Economics
Research Field:International Economics and International Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:56989
Year Published:2006
Web of Science® Times Cited:30
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2010-05-13
Downloads:1 View Download Statistics

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