Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Title:
Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets
Author(s): Pat Wilson, Ralf Zurbruegg & Richard Gerlach
Date of publication: October 2002
Working paper number: 121
Abstract:
Currently, there exists relatively little research on the influence that the 1997 Asian financial crisis has had upon capital flows within the securitized property market and the associated long run implications of it. This paper examines the impact that the crisis has had upon the integration and dynamic links between a number of Asia-Pacific real estate markets. This is achieved through the use of multivariate cointegration analysis that determines and accounts for structural breaks endogenously. The procedures used include those developed by Inoue (1999) and Johansen, Mosconi and Nielsen (2000). The results show that the integration of Asia-Pacific property markets is prevalent despite a structural shift, and that the benefits to securitized real estate diversification maybe far less than originally percieved. These results are a particularly important finding for fund managers concerned with the impact of globalization on the performance of their real estate portfolios.
Paper: Download (Format: PDF, Size: 624 Kb)
Comments: Published as: Wilson, P., Zurbruegg, R. and Gerlach, R., 2006, "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets", Journal of International Money and Finance, 25(6), 974-991.
Known citations:

Bentick, B. K. and Lewis, M. K., 2003, "Real Estate Speculation as a Source of Banking and Currency Instability: Some Different Lessons from the Asian Crisis", The Economic and Labour Relations Review, 14(2), 256-275.

Nummelin, J., 2003, Recent Trends in European Real Estate Research, Research Notes.