The impacts of the 2008 and 2011 crises on the Japan REIT market

Tatsuyoshi Miyakoshi; Junji Shimada; Kui-Wai Li

doi:10.1016/j.jjie.2016.05.002

The impacts of the 2008 and 2011 crises on the Japan REIT market

Tatsuyoshi Miyakoshi^*
, Junji Shimada
, Kui-Wai Li

^*Corresponding author for this work

Department of Economics and Finance

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

12 Citations (Scopus)

Abstract

This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market.

Original language	English
Pages (from-to)	30-40
Journal	Journal of the Japanese and International Economies
Volume	41
DOIs	https://doi.org/10.1016/j.jjie.2016.05.002
Publication status	Published - 1 Sept 2016

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 10 Reduced Inequalities

Research Keywords

Dynamic effects
Global financial crisis 2008
Great earthquake 2011
Housing price, CC-EGARCH
J-REIT prices
Stock price

Policy Impact

Cited in Policy Documents

Access Output

10.1016/j.jjie.2016.05.002

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title = "The impacts of the 2008 and 2011 crises on the Japan REIT market",

abstract = "This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50\%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market.",

keywords = "Dynamic effects, Global financial crisis 2008, Great earthquake 2011, Housing price, CC-EGARCH, J-REIT prices, Stock price",

author = "Tatsuyoshi Miyakoshi and Junji Shimada and Kui-Wai Li",

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doi = "10.1016/j.jjie.2016.05.002",

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T1 - The impacts of the 2008 and 2011 crises on the Japan REIT market

AU - Miyakoshi, Tatsuyoshi

AU - Shimada, Junji

AU - Li, Kui-Wai

PY - 2016/9/1

Y1 - 2016/9/1

N2 - This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market.

AB - This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market.

KW - Dynamic effects

KW - Global financial crisis 2008

KW - Great earthquake 2011

KW - Housing price, CC-EGARCH

KW - J-REIT prices

KW - Stock price

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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84973514585&origin=recordpage

UR - https://app-overton-io.ezproxy.cityu.edu.hk/articles.php?query=10.1016/j.jjie.2016.05.002

U2 - 10.1016/j.jjie.2016.05.002

DO - 10.1016/j.jjie.2016.05.002

M3 - RGC 21 - Publication in refereed journal

SN - 0889-1583

VL - 41

SP - 30

EP - 40

JO - Journal of the Japanese and International Economies

JF - Journal of the Japanese and International Economies

ER -

The impacts of the 2008 and 2011 crises on the Japan REIT market

Abstract

UN SDGs

Research Keywords

Policy Impact

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