A Web of shocks: Crises across Asian real estate markets

Renee Fry, Mardi Dungey, Shaun A Bond

    Research output: Contribution to journalArticle

    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.
    Original languageEnglish
    Pages (from-to)253-274
    JournalJournal of Real Estate Finance and Economics
    Volume32
    Issue number3
    DOIs
    Publication statusPublished - 2006

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