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A Web of Shocks: Crises Across Asian Real Estate Markets
journal contribution
posted on 2023-05-16, 23:39 authored by Bond, S, Dungey, MH, Fry, RThe 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.
History
Publication title
Journal of Real Estate Finance and EconomicsVolume
32Pagination
253-274ISSN
0895-5638Department/School
TSBEPublisher
Springer New York LLCPlace of publication
United StatesRights statement
The original publication is available at www.springerlink.comRepository Status
- Restricted