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Bubble Detection in the Malaysian Housing Market

Author

Listed:
  • Chee Yin Yip

    (Faculty of Business and Finance, Universiti Tunku Abdul Rahman)

  • Woei Chyuan Wong

    (School of Economics, Banking and Finance, Universiti Utara Malaysia)

  • Hock Eam Lim

    (School of Economics, Banking and Finance, Universiti Utara Malaysia)

Abstract

This study uses Phillips, Shi and Yu’s (2015) bubble detection method to examine housing bubbles in Malaysia. We documented five positive bubbles and one negative bubble from 1988 to 2015, including the well-known 1997 Asian real estate bubble. The bubble that originated in April 2010 is the most prominent. It peaked in 2013. Since then, it has been exhibiting strong signs of gradual collapse but was still persisting up to the end of the study period in September 2015. Some of these bubbles preceded financial crises, a phenomenon which is consistent with the findings of contagion channels between real estate and financial markets in the literature.

Suggested Citation

  • Chee Yin Yip & Woei Chyuan Wong & Hock Eam Lim, 2017. "Bubble Detection in the Malaysian Housing Market," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 54(2), pages 203-221, December.
    • Handle: RePEc:mjr:journl:v:54:y:2017:i:2:p:203-221
    DOI: 10.22452/MJES.vol54no2.2
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    Cited by:

    1. Hamid Norfiqiri & Razali Muhammad Najib & Azmi Fatin Afiqah & Daud Siti Zaleha & Yunus Nurhidayah Md., 2022. "Prospecting Housing Bubbles in Malaysia," Real Estate Management and Valuation, Sciendo, vol. 30(4), pages 74-88, December.

    More about this item

    Keywords

    Bubble duration; consistency; dating algorithm; multiple bubbles; real time detector;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
    • N2 - Economic History - - Financial Markets and Institutions
    • G1 - Financial Economics - - General Financial Markets
    • J10 - Labor and Demographic Economics - - Demographic Economics - - - General

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