| ID | 169157 |
| Title Proper | Who influences the Asian–Pacific real estate markets |
| Other Title Information | the US, Japan or China? |
| Language | ENG |
| Author | Liow, Kim Hiang ; Huang, Yuting ; Song, Jeongseop |
| Summary / Abstract (Note) | As rapid economic growth in China has led to significant appreciation of urban real estate market values, this study examines China's influence on Asian–Pacific real estate markets by focusing on their respective market integration with the US, Japan and China during the period January 2005 to December 2017. Market integration is examined by unconditional and time‐varying conditional correlations, nonlinear Granger causality and dynamic connectedness effects. Overall, although the US and Japanese real estate markets have significantly influenced return and volatility in the regional markets, China has emerged as another major regional real estate volatility leader with rising influence over volatility integration, especially during the 2007–2011 crisis period. Financial crises have strengthened China's volatility connectedness effects and market integration with other Asian–Pacific real estate markets. Our results imply that the benefits of regional portfolio diversification may be declining as volatility integration across the Chinese and Asian–Pacific real estate markets becomes stronger. Therefore, diversified global investors should pay greater attention to these real estate markets. |
| `In' analytical Note | China and World Economy Vol. 27, No.6; Nov-Dec 2019: p.50-78 |
| Journal Source | China and World Economy 2019-12 27, 6 |
| Key Words | Market Integration ; Correlation ; Asian - Pacific Orthogonal Real Estate Markets ; Dynamic Connectedness ; Nonlinear Causality |