A Web of Shocks: Crises Across Asian Real Estate Markets

Posted: 6 Nov 2005

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

Abstract

The behavior of real estate markets during the 1997-1998 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 crises 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

Suggested Citation

Bond, Shaun Alexander and Dungey, Mardi and Fry, Renee, A Web of Shocks: Crises Across Asian Real Estate Markets. Journal of Real Estate Finance and Economics, Vol. 32, No. 3, 2006, Available at SSRN: https://ssrn.com/abstract=833205

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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