Spillovers effect in Asian property portfolio markets

Abstract

This paper is to study the spillovers effect in Asian property portfolio market to assess the level of volatility. This is important due to investors increasingly set to go international on real estate market. The increase of integration of property portfolio markets from the perspectives of cross border has put the importance to assess the spillovers effect in particular Asian property portfolio market. The impact of a financial crisis has put paramount interest for investor and policy maker to know the level of volatility and consequently the effect on spillovers. In addition, real estate market has also been the subject of financial risk analysis. The globalisation process has given impact to the integration of market which consequently deregulation and financial market liberalisation. Therefore, spillovers effect among Asian portfolio market need to be assessed to increase the level of information as well as transparency of portfolio market.