The existence of bubbles has long been vigorously debated in the academia. Recent efforts have concentrated on the development of models for detecting bubbles, a topic which has yet to reach a consensus among researchers. To provide a more reliable and accurate approach to measure bubbles, we establish a novel method to disentangle the bubble phenomena in securitized property markets: two new specific indicators are introduced to measure (i) the magnitude of bubbles (CM) and (ii) the riskiness of a bubbled market (β). The findings suggest that converging co-integrations between Asian markets are always accompanied by the formation of bubbles. As loose credit leads to a booming market, bubbles appear with a rebounding risk-free rate, and lifts up the β. Changes in credit could be considered a significant indicator of bubbles booming. In this respect, this study provides important implications for both investors and governments. Particularly, it could serve as a reference for relevant authorities regarding market risk.
- Beta coefficient of market risk
- Credit change
- Irrational bubbles
- Securitized real estate market
ASJC Scopus subject areas
- Nature and Landscape Conservation