Risk and predictability of Singapore's private residential market

Qin Xiao, Weihong Huang

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    Abstract

    This study explores the short-run predictability of, and the risks facing investors in, Singapore’s private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present-value framework, and propose an unconventional approach as a first-step to screen for structural break(s). We found that a rational speculative bubble is an important predictor of the short-run price growth, especially in volatile times. Furthermore, rent is the only fundamental having a non-negligible impact. The study suggests that the major risk facing market participants comes from unpredictable local policy shifts, and/or a potentially predictable systemic risk.
    Original languageEnglish
    Pages (from-to)529-543
    Number of pages15
    JournalQuantitative Finance
    Volume10
    Issue number5
    Early online date10 Feb 2010
    DOIs
    Publication statusPublished - 2010

    Keywords

    • financial econometrics
    • modelling asset price dynamics
    • Kalman filter

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