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

Patrick Wilson (), Ralf Zurbruegg and Richard Gerlach

No 121, Working Paper Series from Finance Discipline Group, UTS Business School, 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: C22 C52 F30 G15 (search for similar items in EconPapers)
Date: 2002-10-01
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Citations: View citations in EconPapers (1)

Published as: Zurbruegg, R., Wilson, P. and Gerlach, R., 2006, "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets", Journal of International Money and Finance, 25(6), 974-991.

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Related works:
Journal Article: Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets (2006)
Working Paper: Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets (2002)
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