Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies
Resource
Journal of Real Estate Finance and Economic,31(2), 189-206
Journal
The Journal of Real Estate Finance and Economics
Pages
189-206
Date Issued
2005
Date
2005
Author(s)
Abstract
This paper studies the return relationships between listed banks and real estate firms in seven Asian economies before and after the Asian financial crisis. We find that listed banks were exposed to real estate risk both before and after the crisis, but that the exposure increased in the post-crisis period. After the crisis, the hidden risk of real estate collateral in the bank lending process was explicit, as was evidenced by the increased sensitivity and the structure break. In terms of causality, the returns of listed real estate firms are found to Granger-cause the returns of listed banks. However, there is mixed evidence as to whether listed bank returns Granger-cause the returns of listed real estate firms. The study is significant because it indicates the importance of lending policies in relation to the real estate market in establishing a healthy financial system. © 2005 Springer Science + Business Media, Inc.
Type
journal article
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