Detecting rational bubbles in the residential housing markets of Hong Kong

Hing Lin CHAN*, Shu Kam Lee, Kai Yin Woo

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    52 Citations (Scopus)

    Abstract

    This paper attempts to conduct an empirical study for detecting misspecification errors and rational bubbles in the residential housing markets of Hong Kong. We focus on a fundamental model that defines market fundamental price as a sum of the expected present value of rental income, discounted at a constant rate of return. Testable implications for detecting misspecification errors and/or price bubbles are explored through the flow and stock approaches. In addition, the paper attempts to identify the amount of misspecification and bubble components in the property price data of Hong Kong.

    Original languageEnglish
    Pages (from-to)61-73
    Number of pages13
    JournalEconomic Modelling
    Volume18
    Issue number1
    DOIs
    Publication statusPublished - Jan 2001

    Scopus Subject Areas

    • Economics and Econometrics

    User-Defined Keywords

    • Bubbles
    • C32
    • C51
    • Housing market
    • Modelling

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