چگونه بحران اخیر بازار دارایی واقعی ایالات متحده در سطح جهانی مسری بود؟ مدارک و شواهد بر اساس آزمون جدید سرایت

This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out of the recent US real estate crisis or subprime crisis. Contrary to expectations, it is found that the relationship of the US market with the other markets following the US real estate market crisis cannot be characterized as one with contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails regardless whether the markets are under distress or not.

In the course of interactions between markets, co-movements or spill-over effects occur which are driven by fundamental factors such as trade linkages, capital flows and banking linkages (Glick and Rose, 1999). These co-movements may intensify as a result of changes in the fundamental factors that underpin the interaction between markets. However, these spill-over effects may increase beyond the level called for by fundamentals as a consequence of the reaction of markets to non-fundamental factors which may drive them to exhibit herding behaviour. In this situation, the co-movements are said to contain contagion effects. It is important to determine whether the spill-over effects or co-movements between markets contain contagion effects since contagion, being the result of non-fundamental factors, indicates the existence of market inefficiency. As explained in the next section, it is claimed that during periods of distress, interactions between markets could be highly susceptible to the presence of contagion effects. With financial markets being globalised, there are now more interactions and interdependence between markets and with markets experiencing crisis situations, there is a suspicion that co-movements between markets consist of contagion effects. In this paper, we investigate the issue of contagion in real estate markets. It is claimed that real estate markets may be highly susceptible to contagion as these markets have become globalised over the past decade (Bardhan and Kroll, 2007). In particular, we investigate the extent by which the recent US real estate crisis or sub-prime crisis led created contagion effects in the real estate markets of the UK, Japan and Australia. Examining real estate market contagion with a focus on the US market is highly important and very topical. First, the recent US real estate market crisis has precipitated the still on-going global financial and economic crisis. Second, the US real estate market is the largest and most globalised in the whole in the whole world (Bardhan and Kroll, 2007). Given the severity of the crisis and the great publicity it attracted worldwide and the worldwide reach of the US market, one would expect that the distress situation of the US market would have created significant contagion effects on other markets. There would be expectations that the crisis would have driven investors away from the real estate market in other countries for fear that what has happened in the US real estate market could also happen in these countries. In our investigation, we make use of a new contagion test based on case-resampling bootstrap technique developed by Hacker and Hatemi-J (2009) that performs accurately when the financial markets are under distress and the standard assumption of normal distribution and constant variance is not fulfilled. We utilize this bootstrap test to both estimate the underlying parameters and to test their statistical significance. A more detailed discussion is provided later in the paper — in Section 3, with regards to the merits and details of this test vis-à-vis existing contagion tests. The rest of the paper is organised in the following manner. The next section provides a discussion of contagion as it relates to real estate markets. Section 3 describes the test for contagion used in this paper. Section 4 discusses the data and presents the empirical results. The summary and conclusions are provided in the last section.

In this paper, we apply a new contagion test to investigate whether there is any contagion effect between the US real estate market with those of Australia, Japan and the UK. This new contagion test is based on a case-resampling bootstrap approach that performs accurately during a crisis period in which the assumptions of normality and constant variance are not fulfilled. In spite of the severity of the US real estate crisis, we find that the relationship of the US real estate market with the other markets is not characterized by contagion effects but by simply a dependency behavior that prevails whether the markets are under distress or not. Thus, even with the globalization of real estate markets, it appears that these are less susceptible to contagion effects arising from international shocks. This indicates that real estate markets’ interaction is guided more by fundamentals rather than by non-fundamentals that create herding behavior. These results also imply that real estate markets are efficient in processing information from each other. Our finding also support the desirability of real estate as a component of investment portfolios since the absence of contagion effects can lead to more stable correlations. Given that the real estate industry is a major cornerstone of major economies, our finding also provides positive news for economic regulators and policymakers.