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

Chi Man Hui, Tsz Ying Lui

Research output: Journal article publicationJournal articleAcademic researchpeer-review

11 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)9-22
Number of pages14
JournalJournal of Property Investment & Finance
Volume20
Issue number1
DOIs
Publication statusPublished - 1 Feb 2002

Keywords

  • Forecasting
  • Hong Kong
  • Housing
  • Marketing
  • Pricing

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Finance
  • Economics, Econometrics and Finance(all)

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