Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24230
Title: Risk and credit change in Asian securitized real estate market
Authors: Hui, ECM 
Wang, Z
Wong, H
Keywords: Beta coefficient of market risk
Credit change
Irrational bubbles
Securitized real estate market
Issue Date: 2014
Publisher: Pergamon Press
Source: Habitat international, 2014, v. 43, p. 221-230 How to cite?
Journal: Habitat international 
Abstract: The existence of bubbles has long been vigorously debated in the academia. Recent efforts have concentrated on the development of models for detecting bubbles, a topic which has yet to reach a consensus among researchers. To provide a more reliable and accurate approach to measure bubbles, we establish a novel method to disentangle the bubble phenomena in securitized property markets: two new specific indicators are introduced to measure (i) the magnitude of bubbles (CM) and (ii) the riskiness of a bubbled market (β). The findings suggest that converging co-integrations between Asian markets are always accompanied by the formation of bubbles. As loose credit leads to a booming market, bubbles appear with a rebounding risk-free rate, and lifts up the β. Changes in credit could be considered a significant indicator of bubbles booming. In this respect, this study provides important implications for both investors and governments. Particularly, it could serve as a reference for relevant authorities regarding market risk.
URI: http://hdl.handle.net/10397/24230
ISSN: 0197-3975
EISSN: 1873-5428
DOI: 10.1016/j.habitatint.2014.03.008
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