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
Date Written: January 26, 2020
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: Suggested Citation