Trends and Volatility in Residential Property Prices in South Africa

M K Ocran and Izunna Anyikwa ()

Studies in Economics and Econometrics, 2013, vol. 37, issue 1, 55-74

Abstract: The paper examines the trends and volatility in residential property prices in South Africa from 1980Q1 to 2011Q4. The empirical analysis uses a range of unit root and stationary tests as well as a number of ARCH-family of models. The results from the trend analysis suggest that shocks to house prices tend to be permanent in nature. Investigation into the dynamic behaviour of house prices supports the existence of conditional volatility that is time-varying and persistent. Moreover, volatility is found to be asymmetric in news suggesting evidence of anti-leverage effects. Accordingly, these outcomes suggest that residential property could provide hedging opportunity to investors with regards to risk management.

Date: 2013
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DOI: 10.1080/10800379.2013.12097249

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