Bubble Detection in the Malaysian Housing Market

Chee Yin Yip (), Woei Chyuan Wong () and Hock Eam Lim ()
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Chee Yin Yip: Faculty of Business and Finance, Universiti Tunku Abdul Rahman
Woei Chyuan Wong: School of Economics, Banking and Finance, Universiti Utara Malaysia
Hock Eam Lim: School of Economics, Banking and Finance, Universiti Utara Malaysia

Malaysian Journal of Economic Studies, 2017, vol. 54, issue 2, 203-221

Abstract: This study uses Phillips, Shi and Yu’s (2015) bubble detection method to examine housing bubbles in Malaysia. We documented five positive bubbles and one negative bubble from 1988 to 2015, including the well-known 1997 Asian real estate bubble. The bubble that originated in April 2010 is the most prominent. It peaked in 2013. Since then, it has been exhibiting strong signs of gradual collapse but was still persisting up to the end of the study period in September 2015. Some of these bubbles preceded financial crises, a phenomenon which is consistent with the findings of contagion channels between real estate and financial markets in the literature.

Keywords: Bubble duration; consistency; dating algorithm; multiple bubbles; real time detector (search for similar items in EconPapers)
JEL-codes: G1 J10 N2 R3 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:mjr:journl:v:54:y:2017:i:2:p:203-221

DOI: 10.22452/MJES.vol54no2.2

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