Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets

Pat Wilson (), Ralf Zurbruegg and Richard Gerlach

No 121, Working Paper Series from School of Finance and Economics, University of Technology, Sydney

Abstract: Currently, 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.

Keywords: cointegration; structural breaks; asian financial crisis; real estate markets (search for similar items in EconPapers)
JEL-codes: G15 F30 C22 C52 (search for similar items in EconPapers)
Date: 2002-10-01
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