Publication Type

Journal Article

Version

Postprint

Publication Date

10-2013

Abstract

This study uses a newly developed bubble detection method (Phillips, Shi, and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, yet another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, this method has also found a bubble in early 2011 in the overall market, and in the mass segment but not in the luxury segment. This result suggests that the bubble in early 2011 in the Hong Kong real estate market was caused primarily by the mass segment under the demand pressure from end-users of small-to-medium sized apartments.

Keywords

Asset bubble, Residential property prices, Right-tailed unit root test, Explosive behaviour, Price-to-rent ratio

Discipline

Asian Studies | Econometrics | Economics | Macroeconomics

Research Areas

Econometrics

Publication

Journal of Asian Economics

Volume

28

First Page

115

Last Page

124

ISSN

1049-0078

Identifier

10.1016/j.asieco.2013.04.005

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.asieco.2013.04.005

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