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Adelaide Research and Scholarship
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Schools and Disciplines
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Business School
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Business School
Permanent link to this item:
http://hdl.handle.net/2440/22986
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| Type: | 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. J.
Zurbruegg, Ralf |
| Citation: | Journal of International Money and Finance, 2006; 25 (6):974-991 |
| Publisher: | Elsevier |
| Issue Date: | 2006 |
| ISSN: | 0261-5606 |
| School/Discipline: | School of Commerce |
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 |
| RMID: | 0020061640 |
| DOI: | 10.1016/j.jimonfin.2006.07.002 |
| Description (link): | http://www.elsevier.com/wps/find/journaldescription.cws_home/30443/description#description |
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| Appears in Collections: | Business School
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| View citing articles in: | Google Scholar
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