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Contagion or interdependence? Evidence from comovements in Asia‐Pacific securitised real estate markets during the 1997 crisis

Patrick Wilson (School of Finance and Economics, University of Technology, Sydney, Australia)
Ralf Zurbruegg (School of Commerce, University of Adelaide, Adelaide, Australia)

Journal of Property Investment & Finance

ISSN: 1463-578X

Article publication date: 1 October 2004

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

Citation

Wilson, P. and Zurbruegg, R. (2004), "Contagion or interdependence? Evidence from comovements in Asia‐Pacific securitised real estate markets during the 1997 crisis", Journal of Property Investment & Finance, Vol. 22 No. 5, pp. 401-413. https://doi.org/10.1108/14635780410556889

Publisher

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Emerald Group Publishing Limited

Copyright © 2004, Emerald Group Publishing Limited