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https://hdl.handle.net/2440/22986
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Type: | Journal article |
Title: | Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets |
Author: | Gerlach, R. Wilson, P. Zurbrugg, R. |
Citation: | Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 2006; 25(6):974-991 |
Publisher: | Elsevier Sci Ltd |
Issue Date: | 2006 |
ISSN: | 0261-5606 |
Statement of Responsibility: | Richard Gerlach, Patrick Wilson and Ralf Zurbruegg |
Abstract: | Currently, there exists relatively little research on the influence that the 1997 Asian financial crisis has had upon capital flows within the 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. The results show that Asia-Pacific property markets are integrated, despite a structural shift occurring at the time of the crisis. These results are a particularly important finding for fund managers concerned with the impact of globalization on the performance of their real estate portfolios, showing that in the Asia-Pacific region diversification benefits are actually less than that suggested by an analysis incorrectly ignoring the crisis. |
Keywords: | Unit-root hypothesis oil-price shock cointegration vectors regime shifts common trends great crash equity tests discovery models |
DOI: | 10.1016/j.jimonfin.2006.07.002 |
Description (link): | http://www.elsevier.com/wps/find/journaldescription.cws_home/30443/description#description |
Published version: | http://dx.doi.org/10.1016/j.jimonfin.2006.07.002 |
Appears in Collections: | Aurora harvest 2 Business School publications |
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