论文标题：Who Influences the Asian–Pacific Real Estate Markets: The US, Japan or China?

　　发表时间：2019

　　论文所有作者：Huang Yuting

　　期刊名及所属分类：China & World Economy(国际SSCI)

　　英文摘要：As rapid economic growth in China has led to significant appreciation of urban real estate market values, this study examines China's influence on Asian–Pacific real estate markets by focusing on their respective market integration with the US, Japan and China during the period January 2005 to December 2017. Market integration is examined by unconditional and time‐varying conditional correlations, nonlinear Granger causality and dynamic connectedness effects. Overall, although the US and Japanese real estate markets have significantly influenced return and volatility in the regional markets, China has emerged as another major regional real estate volatility leader with rising influence over volatility integration, especially during the 2007–2011 crisis period. Financial crises have strengthened China's volatility connectedness effects and market integration with other Asian–Pacific real estate markets. Our results imply that the benefits of regional portfolio diversification may be declining as volatility integration across the Chinese and Asian–Pacific real estate markets becomes stronger. Therefore, diversified global investors should pay greater attention to these real estate markets.

　　中文摘要：由于中国经济的快速增长导致了城市房地产市场价值的显著上升，本研究通过关注2005年1月至2017年12月期间中国与美国、拉潘和中国的市场整合来考察中国对亚太房地产市场的影响。本文以非条件相关性、时变条件相关性、非线性Granger因果关系和动态关联效应来检验市场整合。总体而言，尽管美国和拉帕内斯房地产市场对区域市场的收益率和波动性产生了显著影响，但中国已成为另一个主要的区域房地产波动性领导者，在波动性整合方面的影响力越来越大，特别是在2007-2011年危机期间。金融危机增强了中国与其他亚太地区房地产市场的不稳定性、关联性和市场一体化。我们的研究结果表明，随着中国和亚太地区房地产市场波动性整合增强，区域投资组合多元化的收益可能会下降。因此，多元化的全球投资者应该更加关注这些房地产市场。