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

International Journal of Housing Markets and Analysis

Posted: 12 Feb 2020 Last revised: 31 May 2021

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

Purpose-This paper aims to examine real estate price volatility in Hong Kong. Monthly data on housing, offices, retail and factories in Hong Kong were analyzed from February 1993 to February 2019 to test whether volatility clusters are present in the real estate market. Real estate price determinants were also investigated.
Design/methodology/approach- ARCH test is used to examine the volatility clustering effects in these four kinds of real estate. ARMA-GARCH model was used to identify real estate price volatility determinants in Hong Kong.
Findings- There was volatility clustering in all four kinds of real estate. Determinants of price volatility vary among different types of real estate. In general, housing volatility in Hong Kong is influenced primarily by the foreign exchange rate (both RMB and USD), whereas commercial real estate is largely influenced by unemployment. The results of the EGARCH model show that there were no asymmetric effects in the Hong Kong real estate market.

Keywords: HongKong;GARCH;Commercial real estate;symmetric effects;Housing volatility; Volatility clustering

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). International Journal of Housing Markets and Analysis, 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)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
474
PlumX Metrics