Intrinsic bubbles and Granger causality in the Hong Kong residential property market

Ting Lan ()
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Ting Lan: Institute of Accounting and Finance, Beijing Institute of Technology

Frontiers of Business Research in China, 2019, vol. 13, issue 1, 1-15

Abstract: Abstract This study uses the intrinsic bubbles detection method to identify housing bubbles in the Hong Kong residential property market. By using sample period data from 1993 to 2019, the empirical results show evidence of intrinsic bubbles. Based on the unit root and co-integration tests, I found that there are no rational speculative bubbles in the Hong Kong residential property market. Furthermore, by using the Granger causality tests of the corresponding asymmetric VECM specification, there is no causality from lagged changes in the rental price returns to changes in the property price returns. However, there is strong evidence to show that changes in the property price index returns can Granger cause changes in the rental price index returns.

Keywords: Intrinsic bubbles; Speculative bubbles; Housing bubbles; Granger causality; VECM (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1186/s11782-019-0064-z

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