Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model

Juan Huang, Qiping Shen

Research output: Journal article publicationJournal articleAcademic researchpeer-review

4 Citations (Scopus)

Abstract

We aim to investigate whether the current high housing price in Hong Kong contains a bubble and to identify the causes of such housing bubble if it exists by combining the generalised sup augmented Dickey–Fuller (GSADF) test and dynamic probit models. Empirical results indicate that the current Hong Kong housing market contains a bubble, and it’s the investors’ speculative demand and the increase of monetary supply that lead to the housing bubbles in Hong Kong. Moreover, speculative investors would prefer the mass markets to the luxury ones considering the outstanding performance of the former. Such preference would contribute to more bubbles in the mass markets than in the luxury ones. In view of these, Hong Kong Government should retrospect the linked exchange rate system and be alert to the impacts of the US monetary policies on Hong Kong residential market. To offset the housing bubble, a targeted and effective approach to the Hong Kong Government is to constrict the speculative demand from investors particularly in the mass markets.
Original languageEnglish
Pages (from-to)108-128
Number of pages21
JournalJournal of Property Research
Volume34
Issue number2
DOIs
Publication statusPublished - 3 Apr 2017

Keywords

  • causes
  • detection
  • dynamic probit model
  • GSADF test
  • Housing bubble

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Urban Studies

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