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Title: | FINANCIAL INTEGRATION: A PERSPECTIVE ON THE SPILLOVER EFFECTS AMONG GLOBAL COMMERCIAL REAL ESTATE MARKETS | Authors: | TRUONG HAI YEN ALEX | Keywords: | Real Estate RE Masaki Mori 2014/2015 RE Commerical real estate Financial Integration GFC Generalized Variance Decomposition Global Return and volatiliy spillover effects Spillover Index Vector Autoregression |
Issue Date: | 28-May-2015 | Citation: | TRUONG HAI YEN ALEX (2015-05-28). FINANCIAL INTEGRATION: A PERSPECTIVE ON THE SPILLOVER EFFECTS AMONG GLOBAL COMMERCIAL REAL ESTATE MARKETS. ScholarBank@NUS Repository. | Abstract: | This paper aims to examine the financial interdependence and contagion among different commercial real estate markets via the degree of spillover effect. Data is used in both national and regional scales for the last decade (2003-2013) covering the most recent Global Financial Crisis (GFC). Using the Generalized Variance Decomposition under Vector Autoregression model, self-influence, cross-influence degrees and the spillover indices are systematically obtained among the observed markets in the pre-determined timeframe. It is found that real estate market is mirroring at a slower pace equity market in terms of market efficiency and information transmission. In fact, data available in the system is unable to explain real estate market as well as it explains equity market. On the other hand, second moment measure, return volatility, can capture market fluctuation in greater degree with higher spillover index figures. Moreover, while return measures show a rather symmetric information flows between markets; return volatilities reflect an asymmetric one. The paper also discovers that upon GFC, there were higher cross-influence percentages and lower self-influence percentages among most markets, reflecting that markets became more interlinked and less explained by local data during time of great uncertainty. Findings from regional data commensurate with those from national data; showing the consistent behaviours of countries within the same region. Moreover, it is observed that Asian markets are more passive under the influence of their Western counterparts. Last but not least, taking the most significant economy as a minor case study, it is found that US market seemed to conform to most of the general rule identified in earlier sections, which further reinforces the credibility of insights obtained from the research. | URI: | https://scholarbank.nus.edu.sg/handle/10635/221567 |
Appears in Collections: | Bachelor's Theses |
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