Rational expectations and market fundamentals Evidence from Hong Kong’s boom and bust cycles

This paper uses an econometric approach to examine the relationship between real ( ex post) and rationally expected housing prices in Hong Kong over its boom and bust cycle. Models of market fundamentals are developed from a rational expectation hypothesis to compare the ex post housing prices and e...

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Bibliographic Details
Published inJournal of property investment & finance Vol. 20; no. 1; pp. 9 - 22
Main Authors Hui, Eddie, Lui, Tsz-Ying
Format Journal Article
LanguageEnglish
Published Bradford Emerald Group Publishing Limited 01.02.2002
Subjects
Business cycles
Econometrics
Economic conditions
Family income
GDP
Gross Domestic Product
Housing
Housing prices
Hypotheses
Interest rates
Investor behavior
Market prices
Marketing
Population growth
Price increases
Rational expectations
Speculation
Studies
Volatility
Hong Kong China
China
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Summary:This paper uses an econometric approach to examine the relationship between real ( ex post) and rationally expected housing prices in Hong Kong over its boom and bust cycle. Models of market fundamentals are developed from a rational expectation hypothesis to compare the ex post housing prices and expected housing prices, and to test whether the housing price can reflect the market fundamentals. The findings suggest that the private housing price in Hong Kong is cointegrated to the market fundamentals in the long‐runP only; and exhibits a volatile performance in the short‐run. The short‐term market “noises” are believed largely to be the result of government intervention and unexpected market fluctuations.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1463-578X
1470-2002
DOI:10.1108/14635780210416237