On the Impacts of Asian Financial Crisis on Real Estate Risk Premiums

在1997 年亞洲金融風暴後，亞洲許 多經濟體深受經濟衰退之苦。該次金融危 機肇始於泰國銀行大量不動產放款的壞 帳導致金融風險的提高。泰銖因為投資人 擔心泰國銀行體系崩解而狂跌。泰銖的狂 貶產生了骨牌效應而波及到鄰近國家，包 括新加坡、馬來西亞、印尼、香港、台灣、 與南韓等國。1997 年亞洲金融風暴對世界 金融市場亦產生了重大影響。1997 年十月 底，紐約證券交易所因此而創下單日最大 跌點紀錄。幾乎所有投資亞洲的投資人皆 遭受重大損失。銀行過度曝露於不動產風 險之上是廣為一般接受導致亞洲金融風 暴發生的主原因之一。因此，目前是探討 在亞洲金融風暴前後，不動產風險與報酬 特徵發生是否改變的好時機。本研究的目 的即是再探討在亞洲金融風暴前後，這些 受創的經濟體中不動產風險與報酬特徵 是否發生了結構性的改變？這些受創的 國家包括：Thailand, Indonesia, Philippines, Malaysia, Hong Kong, Singapore, and Japan 。本研究同時將探討非亞洲區域國 家的不動產風險貼水變化以作為對照， 包括:Australia, Belgium, France, Ireland, Italy, Norway, Portugal, Spain, UK, and the U.S.。本研究發現，受金融風暴影響的亞 洲國家中,不論由本地觀點或全球觀點而 言,其系統風險結構皆沒有發生顯著改 變。此結論顯示，亞洲金融風暴對風險性 資產市場的影響是全面性的，而此影響也 未對不動產市場與整體市場相對關係產生結構性改變。Asian economies have suffered severe recession since the financial crisis started in 1997. The financial turmoil began with the adverse risk exposure to real estate loans of Thailand banks. Fearing that the economy of Thailand would collapse caused the plunge of the Thailand Baht. The downfall of Thailand currency caused a domino effect to the neighboring countries, including Singapore, Malaysia, Indonesia, Hong Kong, Taiwan, and South Korea. The crisis in Asia also had a major impact in the financial markets all over the world, which caused the New York stock market to plummet in the late October 1997. It is obvious that almost all investors in this area have suffered painful losses. Since it is widely accepted that the one of the root causes of the crisis is that the banks of this area overly expose to real estate risk. It is good timing now to exam whether the real estate investors demand higher risk premiums after the crisis. This study tries to investigate whether there is a structural change of risk/return relationship in real estate property stocks in countries most affected by the crisis, such as Thailand, Indonesia, Philippines, Malaysia, Hong Kong, Singapore, and Japan. In the meantime, this study will also examine the same characteristics of non-Asian real estate property stocks as a contrast. These non-Asian property stocks include Australia, Belgium, France, Ireland, Italy, Norway, Portugal, Spain, UK, and the U.S. The study finds that no significant changes happen in the systematic risk structures of these suffered Asian countries, neither from local perspective nor from international perspective. The result may reveal that the Asian financial crisis exerted its impacts not only on the real estate markets but also on the overall markets. The systematic relationship between real estate market and the overall market is not changed