What Influences the Real Estate Price Volatility in Hong Kong: An ARMA-GARCH Analysis

9 Pages Posted: 12 Feb 2020 Last revised: 29 Feb 2020

See all articles by Shizhen Wang

Shizhen Wang

University of North Carolina (UNC) at Chapel Hill - Department of City and Regional Planning; School of Government, Beijing Normal University

David J. Hartzell

University of North Carolina at Chapel Hill

Date Written: January 26, 2020

Abstract

In this paper, we apply the ARMA-GARCH model to Hong Kong real estate market. We analyzed the monthly data of housing, office retail and factories from February 1993 to February 2019. The result of ARCH LM test indicates that volatility clustering is shown in there four kinds of real estate. The price volatility of housing is influenced by foreign exchange rate, especially the USD exchange rate. The commercial real estate market shows different, they are all influenced by unemployment. All these real estate shows limited inflation hedging ability in a short period. The result of the EGARCH model shows there were np asymmetric effects in the real estate market.

Keywords: Real Estate; Volatility Clustering; GARCH; Foreign Exchange Rate; Hong Kong

JEL Classification: C32; C58; E43; G12; G15; R3

Suggested Citation

Wang, Shizhen and Hartzell, David J., What Influences the Real Estate Price Volatility in Hong Kong: An ARMA-GARCH Analysis (January 26, 2020). Available at SSRN: https://ssrn.com/abstract=3521649 or http://dx.doi.org/10.2139/ssrn.3521649

Shizhen Wang (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Department of City and Regional Planning ( email )

New East Building
CB #3140
Chapel Hill, NC 27599
United States

School of Government, Beijing Normal University ( email )

19 Xinjiekou Outer St
Haidian District
Beijing, 100875
China

David J. Hartzell

University of North Carolina at Chapel Hill ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States
919-962-3160 (Phone)
919-962-0054 (Fax)

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