Detecting bubbles in Hong Kong residential property market

By M. Yiu, Jun Yu, Lu Jin. 2013

143 citations recorded by the source corpus.

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, yet 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, this method has also found a bubble in early 2011 in the overall market, and 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 was caused primarily by the mass segment under the demand pressure from end-users of small-to-medium sized apartments.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f51a361aca0d465b32fae18645fb9711d92a406b

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Citations in the corpus

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors (2015, background): “Recent working papers from the Hong Kong Monetary Authority (Yiu et al., 2013) and the Central Bank of Colombia (Ojeda-Joya et al., 2013), use PSY in studying real estate bubbles in Hong Kong and Columbia.”
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION (2017, background): “3See, for example, Bohl et al. (2013), Etienne et al. (2015), Chen and Funke (2013), Meyer (2013), Gutierrez (2013), and Yiu et al (2013). procedure in the detection of the bubble collapse date and by providing additional information on the market recovery date.”
Testing for Mild Explosivity and Bubbles in LME Non‐Ferrous Metals Prices (2015, background): “Following Yiu et al. (2013), who observed this same phenomenon in their application of the PSY testing methodology to the Hong Kong residential property market, we also report the small number of detected instances of the same.”
Real time monitoring of asset markets: Bubbles and crises (2018, background): “1 Researchers from many central banks, including the Hong Kong Monetary Authority (Yiu and Jin, 2013), the Central Bank of Colombia (AmadorTorres et al.”
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, background): “Few studies have implemented these techniques in the context of housing markets (e.g., Phillips and Yu (2011); Yiu et al. (2013)), but only on domestic markets. of origination connected with the U.S. experience during the second half of the 1990s; a second phase of propagation that is characterized…”