Risk and predictability of Singapore's private residential market

Qin Xiao and Weihong Huang ()

Quantitative Finance, 2010, vol. 10, issue 5, 529-543

Abstract: This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present-value framework, and propose an unconventional approach as a first-step to screen for structural break(s). We found that a rational speculative bubble is an important predictor of the short-run price growth, especially in volatile times. Furthermore, rent is the only fundamental having a non-negligible impact. The study suggests that the major risk facing market participants comes from unpredictable local policy shifts, and/or a potentially predictable systemic risk.

Keywords: Financial econometrics; Modelling asset price dynamics; Kalman filters; Econometric methodology; Empirical time series analysis (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/14697680903236113

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