Detecting bubbles in Hong Kong residential property market

Matthew S. Yiu, Jun Yu and Lu Jin

Journal of Asian Economics, 2013, vol. 28, issue C, 115-124

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 (search for similar items in EconPapers)
JEL-codes: C22 G12 R31 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (79)

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Related works:
Working Paper: Detecting Bubbles in Hong Kong Residential Property Market (2012)
Working Paper: Detecting Bubbles in Hong Kong Residential Property Market (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:28:y:2013:i:c:p:115-124

DOI: 10.1016/j.asieco.2013.04.005

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