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.