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

    Fingerprint

    Singapore
    Short-run
    Speculative bubbles
    Predictability
    Structural breaks
    Present value
    Rent
    Investors
    Market risk
    Predictors
    Housing market
    Systemic risk

    Keywords

    • financial econometrics
    • modelling asset price dynamics
    • Kalman filter

    Cite this

    Risk and predictability of Singapore's private residential market. / Xiao, Qin; Huang, Weihong.

    In: Quantitative Finance, Vol. 10, No. 5, 2010, p. 529-543.

    Research output: Contribution to journalArticle

    Xiao, Qin ; Huang, Weihong. / Risk and predictability of Singapore's private residential market. In: Quantitative Finance. 2010 ; Vol. 10, No. 5. pp. 529-543.
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