Investigating the change of causality in emerging property markets during the financial tsunami

► We examine the causality change among five emerging markets. ► We utilize the cumulative sum test to detect the outburst point of the financial tsunami. ► We develop a method based on partial directed coherence to make the comparison of causality. ► We find that a regional influence of Chinese market has arisen. ► Crisis effects depend on the magnitude of the market under an exogenous crisis assumption.