A Web of Shocks: Crises Across Asian Real Estate

36 Pages Posted: 3 Nov 2004

See all articles by Shaun A. Bond

Shaun A. Bond

UQ Business School

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Renee Fry

Australian National University (ANU) - Department of Economics

Date Written: September 2004

Abstract

The behaviour of real estate markets during the 1997-98 financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework. The results reveal that diversification opportunities prior to the crisis are much reduced during the crisis. A comparison with regional equity markets shows that the transmission of shocks differs across the real estate and equity markets, providing evidence that investment in multiple asset classes provides some protection from large market downturns.

Keywords: Latent factor, contagion, indirect estimation, real estate

JEL Classification: G14, F36, C30

Suggested Citation

Bond, Shaun Alexander and Dungey, Mardi and Fry, Renee, A Web of Shocks: Crises Across Asian Real Estate (September 2004). Available at SSRN: https://ssrn.com/abstract=613367 or http://dx.doi.org/10.2139/ssrn.613367

Shaun Alexander Bond (Contact Author)

UQ Business School ( email )

The University of Queensland
Brisbane, QLD 4072
Australia

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Renee Fry

Australian National University (ANU) - Department of Economics ( email )

Canberra, Australian Capital Territory 2600
Australia

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