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Detecting bubbles in Hong Kong residential property market

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  • Yiu, Matthew S.
  • Yu, Jun
  • Jin, Lu
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Abstract

This study uses a newly developed bubble detection method (Phillips, Shi, and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, yet another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, this method has also found a bubble in early 2011 in the overall market, and in the mass segment but not in the luxury segment. This result suggests that the bubble in early 2011 in the Hong Kong real estate market was caused primarily by the mass segment under the demand pressure from end-users of small-to-medium sized apartments.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 28 (2013)
Issue (Month): C ()
Pages: 115-124

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Handle: RePEc:eee:asieco:v:28:y:2013:i:c:p:115-124

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Web page: http://www.elsevier.com/locate/asieco

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Keywords: Asset bubble; Residential property prices; Right-tailed unit root test; Explosive behaviour; Price-to-rent ratio;

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Cited by:
  1. Marcelo M. de Oliveira & Alexandre C. L. Almeida, 2014. "Testing for rational speculative bubbles in the Brazilian residential real-estate market," Papers 1401.7615, arXiv.org.
  2. Gustavo Adolfo HERNANDEZ DIAZ & Gabriel PIRAQUIVE GALEANO, 2014. "Evolución de los precios de la vivienda en Colombia," ARCHIVOS DE ECONOMÍA 011208, DEPARTAMENTO NACIONAL DE PLANEACIÓN.
  3. Andras Fulop & Jun Yu, 2014. "Bayesian Analysis of Bubbles in Asset Prices," Working Papers 04-2014, Singapore Management University, School of Economics.

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