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Detecting rational bubbles in the residential housing markets of Hong Kong

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  • Chan, Hing Lin
  • Lee, Shu Kam
  • Woo, Kai Yin

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  • Chan, Hing Lin & Lee, Shu Kam & Woo, Kai Yin, 2001. "Detecting rational bubbles in the residential housing markets of Hong Kong," Economic Modelling, Elsevier, vol. 18(1), pages 61-73, January.
  • Handle: RePEc:eee:ecmode:v:18:y:2001:i:1:p:61-73
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    3. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    4. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
    5. Alok Bhargava, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Oxford University Press, vol. 53(3), pages 369-384.
    6. Mok, Henry M K & Chan, Patrick P K & Cho, Yiu-sun, 1995. "A Hedonic Price Model for Private Properties in Hong Kong," The Journal of Real Estate Finance and Economics, Springer, vol. 10(1), pages 37-48, January.
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    Citations

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    Cited by:

    1. Funke, Michael & Paetz, Michael, 2013. "Housing prices and the business cycle: An empirical application to Hong Kong," Journal of Housing Economics, Elsevier, vol. 22(1), pages 62-76.
    2. Rose N. Lai & Robert A. Van Order, 2010. "Momentum and House Price Growth in the United States: Anatomy of a Bubble," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 753-773, Winter.
    3. Mantu Kumar Mahalik & Hrushikesh Mallick, 2016. "Are house prices guided by fundamentals or speculative factors? An empirical inquiry for India," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 9(1), pages 47-64.
    4. Sainan Jin & Wanjun Jiang & Liangjun Su & Jianying Hu, 2006. "The Rise in House Prices in China: Bubbles or Fundamentals?," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-8.
    5. Hui, Eddie C.M. & Zheng, Xian & Wang, Hui, 2010. "A dynamic mathematical test of international property securities bubbles and crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1445-1454.
    6. Monkkonen, Paavo & Wong, Kelvin & Begley, Jaclene, 2012. "Economic restructuring, urban growth, and short-term trading: The spatial dynamics of the Hong Kong housing market, 1992–2008," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 396-406.
    7. Sean Joss Gossel & Nicholas Biekpe, 2012. "The effects of capital inflows on South Africa's economy," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 923-938, June.
    8. Qin Xiao & Gee Kwang Randolph Tan, 2007. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Urban Studies, Urban Studies Journal Limited, vol. 44(4), pages 865-888, April.
    9. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, vol. 33(C), pages 926-939.
    10. Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008. "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 71-91, July.
    11. repec:eee:ecmode:v:64:y:2017:i:c:p:419-442 is not listed on IDEAS
    12. Laurin Frederic, 2011. "The Real Estate Conundrum in the CEE Office Markets: Thinking Too Big?," EERC Working Paper Series 11/07e, EERC Research Network, Russia and CIS.
    13. Xin J. Ge & G. Runeson, 2004. "Modeling Property Prices Using Neural Network Model for Hong Kong," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 121-138.
    14. repec:ebl:ecbull:v:3:y:2006:i:7:p:1-8 is not listed on IDEAS
    15. Frederic Laurin & John-John D'Argensio & Thea Goginashvili, 2010. "The Real Estate Conundrum in the CEE Office Markets: Thinking Too Big?," Working Papers 10-001, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    16. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
    17. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series 0602, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    18. Qin Xiao & Donghyun Park, 2010. "Seoul housing prices and the role of speculation," Empirical Economics, Springer, vol. 38(3), pages 619-644, June.

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