Asymmetric housing information diffusions in China: An investor perspective

Shu-hen Chiang, Eddie C.M. Hui and Chien-Fu Chen
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Shu-hen Chiang: Chung-Yuan Christian University, Taiwan
Eddie C.M. Hui: Hong Kong Polytechnic University, Hong Kong
Chien-Fu Chen: National Dong Hwa University, Taiwan

Urban Studies, 2022, vol. 59, issue 10, 2036-2052

Abstract: Over the past few decades, numerous attempts have been made to examine ripple effects using housing prices. What seems to be lacking, however, is a return to investor behaviour in terms of how it inspires inter-city spillovers. We thus propose the price-to-rent (P/R) ratio as a quantitative anchor in regard to how investor sentiment affects future housing values. By utilising a time-varying spillover approach based on monthly housing prices and rents across first-tier cities in China, it becomes clear that the characteristics of investment-driven diffusions are short-lived and more sensitive to economic policy changes in 2014 (the new normal initiative) and 2018 (strict housing control measures). Finally, in addition to good and bad perspectives, there is asymmetric evidence to show that negative outlooks such as a great fear of loss generally play a dominant role in the information transmission process, while a strong repercussion of good news in 2019 has subsequently been dampened by the COVID-19 pandemic.

Keywords: asymmetric effects; COVID-19; housing information diffusions; investor sentiment; price-to-rent ratio; time-varying estimation; ä¸ å¯¹ç§°æ•ˆåº”; æ–°å† è‚ºç‚Ž; ä½ æˆ¿ä¿¡æ ¯æ‰©æ•£; 投资者情绪; 房价租金比; æ—¶å ˜ä¼°è®¡ (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:sae:urbstu:v:59:y:2022:i:10:p:2036-2052

DOI: 10.1177/00420980211026555

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