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Type: Journal article
Title: Contagion or interdependence? Evidence from comovements in Asia-Pacific securitised real estate markets during the 1997 crisis
Author: Wilson, P.
Zurbrugg, R.
Citation: Journal of Property Investment and Finance, 2004; 22(5):401-413
Publisher: Emerald Group Publishing Limited
Issue Date: 2004
ISSN: 1463-578X
Statement of
Patrick Wilson and Ralf Zurbruegg
Abstract: This paper examines whether there was contagion from the Thai securitised real estate market to four other prominent Asia-Pacific property markets. Based on Forbes and Rigobon's methodology for calculating conditional and unconditional correlations, analysis shows that there was some contagion effect from Thailand to Hong Kong and Singapore during the period between early July and late October 1997. However, if the period includes the stock market crisis of late October 1997, there is little evidence for real estate market contagion, as it would seem that the impact of the equity markets were more relevant thereafter, in affecting other financial markets than the property markets themselves.
Keywords: Property management
Real estate
South East Asia
Description: © Emerald Group Publishing Limited
DOI: 10.1108/14635780410556889
Published version:
Appears in Collections:Aurora harvest 7
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