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The inflation-hedging characteristics of Malaysian residential property

Author

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  • Chyi Lin Lee

Abstract

Purpose - – This study aims to extend the current literature by examining the inflation-hedging effectiveness of Malaysian residential property in the short run and long run. Malaysia is an emerging market and has some unique characteristics. Therefore, a dedicated study in this market is critical. Design/methodology/approach - – The analysis of this study involves two stages. The first stage is to estimate the inflation-hedging ability of Malaysian residential property in the short run. The Fama and Schwert model was employed. Thereafter, the long-run inflation-hedging effectiveness was assessed by using a dynamic ordinary least squares (DOLS) model. Findings - – The Fama and Schwert tests reveal that Malaysian residential property does provide some satisfactory hedge against the expected inflation component over the short run. However, variations are evident among different types of residential property. The DOLS results provide strong evidence to support that housing is an effective hedge against the expected inflation in the long run, whereas no comparable evidence is found for the unexpected inflation component. Practical implications - – The findings enable more informed and practical investment decision-making regarding the role of housing in inflation risk management. Originality/value - – This paper is the first study to offer empirical evidence of the inflation-hedging attributes of Malaysian residential property. Moreover, the inflation-hedging effectiveness of different types of residential property is also compared for the first time.

Suggested Citation

  • Chyi Lin Lee, 2014. "The inflation-hedging characteristics of Malaysian residential property," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 7(1), pages 61-75, February.
    • Handle: RePEc:eme:ijhmap:v:7:y:2014:i:1:p:61-75
    DOI: 10.1108/IJHMA-10-2012-0053
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    Citations

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    Cited by:

    1. Gary John Rangel & Jason Wei Jian Ng, 2017. "Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 15-31.
    2. Geok Peng Yeap & Hooi Hooi Lean, 2020. "Supply elasticity of new housing supply in Malaysia: an analysis across housing sub-markets," Economics Bulletin, AccessEcon, vol. 40(1), pages 807-820.
    3. Aqsha, Nur Suhairah & Masih, Mansur, 2018. "Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL," MPRA Paper 91508, University Library of Munich, Germany.
    4. Muhammad Jufri Marzuki & Graeme Newell, 2020. "A global investment opportunity in non-listed infrastructure for institutional investors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(3), pages 239-255, May.
    5. Sheen Low & Fahim Ullah & Sara Shirowzhan & Samad M. E. Sepasgozar & Chyi Lin Lee, 2020. "Smart Digital Marketing Capabilities for Sustainable Property Development: A Case of Malaysia," Sustainability, MDPI, vol. 12(13), pages 1-40, July.
    6. Wang, Jianing & Lee, Chyi Lin, 2022. "The value of air quality in housing markets: A comparative study of housing sale and rental markets in China," Energy Policy, Elsevier, vol. 160(C).

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