Who Influences the Asian–Pacific Real Estate Markets: The Us, Japan or China?

29 Pages Posted: 7 May 2020

See all articles by Kim Hiang Liow

Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate

Yuting Huang

Capital University of Economics and Business

Jeong Seop Song

National University of Singapore (NUS) - Department of Real Estate

Date Written: November–December 2019

Abstract

As rapid economic growth in China has led to significant appreciation of urban real estate market values, this study examines China's influence on Asian–Pacific real estate markets by focusing on their respective market integration with the US, Japan and China during the period January 2005 to December 2017. Market integration is examined by unconditional and time‐varying conditional correlations, nonlinear Granger causality and dynamic connectedness effects. Overall, although the US and Japanese real estate markets have significantly influenced return and volatility in the regional markets, China has emerged as another major regional real estate volatility leader with rising influence over volatility integration, especially during the 2007–2011 crisis period. Financial crises have strengthened China's volatility connectedness effects and market integration with other Asian–Pacific real estate markets. Our results imply that the benefits of regional portfolio diversification may be declining as volatility integration across the Chinese and Asian–Pacific real estate markets becomes stronger. Therefore, diversified global investors should pay greater attention to these real estate markets.

Keywords: Asian–Pacific orthogonal real estate markets, correlation, dynamic connectedness, market integration, nonlinear causality

JEL Classification: F36, G15

Suggested Citation

Liow, Kim Hiang and Huang, Yuting and Song, Jeong Seop, Who Influences the Asian–Pacific Real Estate Markets: The Us, Japan or China? (November–December 2019). China & World Economy, Vol. 27, Issue 6, pp. 50-78, 2019, Available at SSRN: https://ssrn.com/abstract=3594711 or http://dx.doi.org/10.1111/cwe.12306

Kim Hiang Liow (Contact Author)

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

Yuting Huang

Capital University of Economics and Business ( email )

Beijing
China

Jeong Seop Song

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore

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