Which Market Has More Influence in Asia-Pacific Public Real Estate Markets? China, Japan or US?
19 Pages Posted: 13 Jun 2018
Date Written: May 10, 2018
This study examines the market integration relationship of the US/Japan/China to establish which market has more influence in Asia-Pacific public real estate markets over the period from January 7, 2005 to December 8, 2017. Market integration is focused from the return correlation, return linear and non-linear causalities, as well the dynamic return connectedness effects based on the generalized vector autoregressive connectedness framework to detect market connection among the sample real estate markets. Overall, it appears from the results that the US real estate market has greater influence in Asia-Pacific real estate markets. This leadership position should be unlikely threatened by the growing significance of the Chinese economy and its public real estate market whose development lags at least a decade behind the US securitized real estate market. Further research studies are required to investigate the main macroeconomic determinants on market integration during the tranquil and crisis periods in order to conclusively which market is the market integration leader in the time-scale space.
Keywords: Dynamic Connectedness, Market Integration, Nonlinear Causality, Correlation, China, Asian Public Real Estate Markets
JEL Classification: F3, G15
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