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@article{ART001547323},
author={김범석},
title={The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2011},
volume={21},
number={1},
pages={255-279}

TY - JOUR
AU - 김범석
TI - The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis
JO - Korea Real Estate Review
PY - 2011
VL - 21
IS - 1
PB - korea real estate research institute
SP - 255
EP - 279
SN - 2092-5395
AB - To analyzes the impact of collapse of the U.S. real estate market on the Asia-Pacific REITs during the sample period of January 7, 2004–December 31, 2010, this paper examines co-integration, causality, and volatility spillover effects between the U.S. and Korean, Japanese, Hong Kong, Singaporean, and Australian REITs. The sample is divided into two sub-periods before and after February 7, 2007 when DJ REIT index hit a record high. The findings indicate that Singapore, Australia, and Hong Kong REIT markets have a strong co-integration relationship regardless of the U.S. subprime mortgage crisis. Co- integration relationship between Japan and Australia and the U.S. became stronger after February 7, 2007. The evidence shows that there is a significant Granger causality from the U.S. to Asia- Pacific REITs before and after February 7, 2007, whereas there is not from Asia-Pacific REITs to the U.S, REITs. In addition, the strong spillover effects of shock and volatility from the U.S. to Asia-Pacific REITs are found before and after February 7, 2007.
KW - subprime mortgage crisis;REITs;co-integration;Granger causality tests;spillover effects
DO -
UR -
ER -

김범석. (2011). The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis. Korea Real Estate Review, 21(1), 255-279.

김범석. 2011, "The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis", Korea Real Estate Review, vol.21, no.1 pp.255-279.

김범석 "The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis" Korea Real Estate Review 21.1 pp.255-279 (2011) : 255.

김범석. The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis. 2011; 21(1), 255-279.

김범석. "The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis" Korea Real Estate Review 21, no.1 (2011) : 255-279.

김범석. The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis. Korea Real Estate Review, 21(1), 255-279.

김범석. The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis. Korea Real Estate Review. 2011; 21(1) 255-279.

김범석. The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis. 2011; 21(1), 255-279.

김범석. "The Co-Integration and Spillover Effects between the U.S. and Asia-Pacific REITs: Evidence from the U.S. Subprime Mortgage Crisis" Korea Real Estate Review 21, no.1 (2011) : 255-279.