Eres : Digital Library : Works

Paper eres2007_180:
Modelling Price Volatility in the Hong Kong Property Market

id eres2007_180
authors Zhou, Sherry; Helen Bao
year 2007
title Modelling Price Volatility in the Hong Kong Property Market
source 14th Annual European Real Estate Society Conference in London, UK
summary The property market in Hong Kong has been playing an essential role in the political, social and economic lives in this vibrant city. Understanding the volatility of this market is important to guide government policy making and investment decisions. Using data collected between 1986 and 2006, this paper applies GARCH models to investigate the patterns and determinants of the price volatility of residential, office and retails properties in Hong Kong. Our findings suggest that office price does not show time variation of the volatility, which makes it easier to forecast the office price in Hong Kong. ARCH(1) and AR(1)-ARCH(1) models are constructed to measure the quarterly price volatility for residential and retail properties respectively. We find retail property price has greater volatility persistence than that of the residential property. Our analysis also shows significant discrepancy among the three real estate sectors when considering the economic determinants of price volatility. The volatility in retail property price is associated with the gross value of construction work only. In contrast, the volatility in residential property price is related to wage index, consumer price index, and retail sales volume. In general the price volatility in the residential housing real estate sector is more affected by demand side, while that of the retail sector is largely influenced by supply side. In conclusion, our analysis indicates the office property market is less risky than the residential and retails real estate markets in Hong Kong, and the price volatility in these sectors are affected by different factors.
series ERES:conference
discussion No discussions. Post discussion ...
session Session B9: Modelling Commercial Real Estate Markets
last changed 2009/11/19 09:01
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