The Impact of the Global Financial Crisis on Asia Pacific Real Estate Markets: Evidence from Korea, Japan, Australia and U.S. REITs
Abstract This paper analyzes the impact of the U.S. real estate market collapse on the Asia Pacific real estate markets, by examining the Korea, Japan, Australia, and U.S. REITs indexes during the sample period of January 2004 June 2009 with two sub samples of before crisis and after crisis. The findings indicate that linkages between the U.S. and Australia REIT sectors was strong during January 2004 June 2009. In the case of linkages between the U.S. and Korean REIT sectors, co movements have become significant only after the breakout of global financial crisis. The Japanese REIT sector shows a weak relationship with the U.S. REIT sector. In addition, this paper shows a weak co integration among Asia Pacific REIT sectors. A REITs, K CR REITs, J REITs show different magnitudes of contagion effects. This finding can be explained by characteristics of REITs, structure offinancing, and country's economic situation.