What Drives Hong Kong’s Residential Property Market: A Markov switching present value model

Qin Xiao

doi:10.1016/j.physa.2007.04.092

What Drives Hong Kong’s Residential Property Market: A Markov switching present value model

Qin Xiao

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly account for a rational speculative bubble. The estimates show that, not only does the model capture the asymmetric market responses to information and noise, but it also gives evidence on investor heterogeneity. The study also finds that the influence of the rational bubble is statistically significant.

Original language	English
Pages (from-to)	108-114
Number of pages	7
Journal	Physica Scripta
Volume	383
Issue number	1
Early online date	1 May 2007
DOIs	https://doi.org/10.1016/j.physa.2007.04.092
Publication status	Published - 1 Sep 2007

Keywords

Speculative bubble
Markov switching
Kalman filter

Access to Document

10.1016/j.physa.2007.04.092

http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6TVG-4NMC88Y-F-5&_cdi=5534&_user=152381&_pii=S0378437107005031&_orig=search&_coverDate=09%2F01%2F2007&_sk=996169998&view=c&wchp=dGLbVzW-zSkzV&md5=76a55edbf8efa319b4fe47b3731df867&ie=/sdarticle.pdf

Cite this

@article{ec7a2458c2e94d88932f04a528c7edf1,

title = "What Drives Hong Kong{\textquoteright}s Residential Property Market: A Markov switching present value model",

abstract = "The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly account for a rational speculative bubble. The estimates show that, not only does the model capture the asymmetric market responses to information and noise, but it also gives evidence on investor heterogeneity. The study also finds that the influence of the rational bubble is statistically significant.",

keywords = "Speculative bubble, Markov switching, Kalman filter",

author = "Qin Xiao",

year = "2007",

month = sep,

day = "1",

doi = "10.1016/j.physa.2007.04.092",

language = "English",

volume = "383",

pages = "108--114",

journal = "Physica Scripta",

issn = "0031-8949",

publisher = "IOP Publishing Ltd.",

number = "1",

}

TY - JOUR

T1 - What Drives Hong Kong’s Residential Property Market

T2 - A Markov switching present value model

AU - Xiao, Qin

PY - 2007/9/1

Y1 - 2007/9/1

N2 - The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly account for a rational speculative bubble. The estimates show that, not only does the model capture the asymmetric market responses to information and noise, but it also gives evidence on investor heterogeneity. The study also finds that the influence of the rational bubble is statistically significant.

AB - The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly account for a rational speculative bubble. The estimates show that, not only does the model capture the asymmetric market responses to information and noise, but it also gives evidence on investor heterogeneity. The study also finds that the influence of the rational bubble is statistically significant.

KW - Speculative bubble

KW - Markov switching

KW - Kalman filter

U2 - 10.1016/j.physa.2007.04.092

DO - 10.1016/j.physa.2007.04.092

M3 - Article

VL - 383

SP - 108

EP - 114

JO - Physica Scripta

JF - Physica Scripta

SN - 0031-8949

IS - 1

ER -

What Drives Hong Kong’s Residential Property Market: A Markov switching present value model

Abstract

Keywords

Access to Document

Fingerprint

Cite this