Please use this identifier to cite or link to this item: 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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