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Measuring Spillover Effects Across Asian Property Stocks

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  • Patrick Wilson
  • Simon Stevenson
  • Ralf Zurbruegg

Abstract

This paper uses a structural time series approach to isolate stochastic trend and cyclical components across a system of securitized Asian property markets. For the purposes of understanding the degree of commonality and spillover effects of behaviour across property markets, these real estate markets are treated as a system of endogenous variables with any spillover effects measured by intermarket dependencies of the unobserved stochastic components. This is combined with an examination of long‐run trends within Asian property markets to reveal a broad level of interdependence that transcends the Asian Financial Crisis of 1997. These results further highlight the importance for financial analysts to examine securitized real estate behaviour, as it may provide useful information on explaining general equity market movements.

Suggested Citation

  • Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Measuring Spillover Effects Across Asian Property Stocks," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 123-138.
    • Handle: RePEc:taf:jpropr:v:24:y:2007:i:2:p:123-138
    DOI: 10.1080/09599910701440081
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    Citations

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    Cited by:

    1. Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2016. "Are international securitized property markets converging or diverging?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 1-10.
    2. Graeme Newell & Chau Kwong Wing & Wong Siu Kei & Liow Kim Hiang, 2009. "The significance and performance of property securities markets in the Asian IFCs," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 125-148, October.
    3. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 567-586, May.
    4. Thi Kim Nguyen & Muhammad Najib Razali, 2020. "The dynamics of listed property companies in Indonesia," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 38(2), pages 91-106, January.
    5. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2024. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 253-276, August.
    6. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2021. "New test of contagion with application on the Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 564(C).
    7. Mário Nuno Mata & Muhammad Najib Razali & Sónia R. Bentes & Isabel Vieira, 2021. "Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
    8. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    9. Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.

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