Jump point detection for real estate investment success

Chi Man Hui, Carisa K.W. Yu, Wai Cheung Ip

Research output: Journal article publicationJournal articleAcademic researchpeer-review

15 Citations (Scopus)

Abstract

In the literature, studies on real estate market were mainly concentrating on the relation between property price and some key factors. The trend of the real estate market is a major concern. It is believed that changes in trend are signified by some jump points in the property price series. Identifying such jump points reveals important findings that enable policy-makers to look forward. However, not all jump points are observable from the plot of the series. This paper looks into the trend and introduces a new approach to the framework for real estate investment success. The main purpose of this paper is to detect jump points in the time series of some housing price indices and stock price index in Hong Kong by applying the wavelet analysis. The detected jump points reflect to some significant political issues and economic collapse. Moreover, the relations among properties of different classes and between stocks and properties are examined. It can be shown from the empirical result that a lead-lag effect happened between the prices of large-size property and those of small/medium-size property. However, there is no apparent relation or consistent lead in terms of change point measure between property price and stock price. This may be due to the fact that globalization effect has more impact on the stock price than the property price.
Original languageEnglish
Pages (from-to)1055-1064
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume389
Issue number5
DOIs
Publication statusPublished - 1 Mar 2010

Keywords

  • Change points
  • Jump point detection
  • Real estate investment
  • Wavelet analysis

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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