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Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets

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  • Patrick J. Wilson
  • Ralf Zurbruegg
  • Richard Gerlach

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  • Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2002_140
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    8. F.C. Neil Myer & Mukesh K. Chaudhry & James R. Webb, 1997. "Stationarity and Co-Integration in Systems with Three National Real Estate Indices," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 369-381.
    9. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
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    11. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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    15. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    16. Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
    17. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44, March.
    18. Eichholtz, Piet & Koedijk, Kees & Schweitzer, Mark, 2001. "Global property investment and the costs of international diversification," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 349-366, June.
    19. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    20. Crocker H. Liu & Jianping Mei, 1998. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 3-39, March.
    21. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    22. Barkham, R. J. & Geltner, D. M., 1996. "Price Discovery and Efficiency in the UK Housing Market," Journal of Housing Economics, Elsevier, vol. 5(1), pages 41-63, March.
    23. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    24. Tarbert, Heather, 1998. "The long-run diversification benefits available from investing across geographical regions and property type: evidence from cointegration tests1," Economic Modelling, Elsevier, vol. 15(1), pages 49-65, January.
    25. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
    26. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
    27. Alan J. Ziobrowski & Richard Curcio, 1991. "Diversification Benefits of U.S. Real Estate to Foreign Investors," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 119-142.
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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