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Contagion or interdependence? Evidence from comovements in Asia‐Pacific securitised real estate markets during the 1997 crisis

Contagion or interdependence? Evidence from comovements in Asia‐Pacific securitised real estate... This paper examines whether there was contagion from the Thai securitised real estate market to four other prominent Asia‐Pacific property markets. Based on Forbes and Rigobon's methodology for calculating conditional and unconditional correlations, analysis shows that there was some contagion effect from Thailand to Hong Kong and Singapore during the period between early July and late October 1997. However, if the period includes the stock market crisis of late October 1997, there is little evidence for real estate market contagion, as it would seem that the impact of the equity markets were more relevant thereafter, in affecting other financial markets than the property markets themselves. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Investment & Finance Emerald Publishing

Contagion or interdependence? Evidence from comovements in Asia‐Pacific securitised real estate markets during the 1997 crisis

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Publisher
Emerald Publishing
Copyright
Copyright © 2004 Emerald Group Publishing Limited. All rights reserved.
ISSN
1463-578X
DOI
10.1108/14635780410556889
Publisher site
See Article on Publisher Site

Abstract

This paper examines whether there was contagion from the Thai securitised real estate market to four other prominent Asia‐Pacific property markets. Based on Forbes and Rigobon's methodology for calculating conditional and unconditional correlations, analysis shows that there was some contagion effect from Thailand to Hong Kong and Singapore during the period between early July and late October 1997. However, if the period includes the stock market crisis of late October 1997, there is little evidence for real estate market contagion, as it would seem that the impact of the equity markets were more relevant thereafter, in affecting other financial markets than the property markets themselves.

Journal

Journal of Property Investment & FinanceEmerald Publishing

Published: Oct 1, 2004

Keywords: Real estate; South East Asia; Property management

References