Detecting Bubbles in Hong Kong Residential Property Market

Matthew S. Yiu, Jun Yu and Lu Jin ()
Additional contact information
Matthew S. Yiu: ASEAN + 3 Macroeconomic Research Office
Lu Jin: Hong Kong Monetary Authority

No 31-2012, Working Papers from Singapore Management University, School of Economics

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, 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, the method finds a bubble in early 2011 in the overall market as well as 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 came more strongly from 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)
Pages: 22 pages
Date: 2012-08
New Economics Papers: this item is included in nep-sea and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in SMU Economics and Statistics Working Paper Series

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Related works:
Journal Article: Detecting bubbles in Hong Kong residential property market (2013)
Working Paper: Detecting Bubbles in Hong Kong Residential Property Market (2012)
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