The Impacts of the 2008 and 2011 Crises on the Japan REIT Market

24 Pages Posted: 24 Jun 2020

See all articles by Tatsuyoshi Miyakoshi

Tatsuyoshi Miyakoshi

Osaka University

Junji Shimada

Aoyama Gakuin University - School of Business

Kui-Wai Li

Munk School of Global Affairs, University of Toronto

Date Written: May 2016

Abstract

This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market.

Keywords: Global Financial Crisis 2008; Great Earthquake 2011; Dynamic Effects; J-REIT prices; Stock price; Housing price, CC-EGARCH

JEL Classification: G01; G12; O16

Suggested Citation

Miyakoshi, Tatsuyoshi and Shimada, Junji and Li, Kui-Wai, The Impacts of the 2008 and 2011 Crises on the Japan REIT Market (May 2016). Journal of the Japanese and International Economies, Volume 41, September 2016, Pages 30-40, Available at SSRN: https://ssrn.com/abstract=3616989

Tatsuyoshi Miyakoshi

Osaka University ( email )

1-1 Yamadaoka
Suita
Osaka, 565-0871
Japan

Junji Shimada

Aoyama Gakuin University - School of Business

4-4-25 Shibuya, Shibuya-ku
Tokyo, 150-8366
Japan

Kui-Wai Li (Contact Author)

Munk School of Global Affairs, University of Toronto ( email )

Toronto
Canada

HOME PAGE: http://https://kw-consultancy.com/

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