Publication Type

Working Paper

Version

publishedVersion

Publication Date

8-2012

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, 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, the method finds a bubble in early 2011 in the overall market as well as 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 came more strongly from 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 | Finance | Macroeconomics

Research Areas

Econometrics

First Page

1

Last Page

21

Publisher

SMU Economics and Statistics Working Paper Series, No. 33-2012

City or Country

Singapore

Copyright Owner and License

Authors

Comments

Published in Journal of Asian Economics https://doi.org/10.1016/j.asieco.2013.04.005

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