Econometric Analyses of International Housing Markets Rita Yi Man Li and Kwong Wing Chan Ö Routledge % % Taylor & Francis Group LONDON AND NEW YORK
Contents 1 Introduction 2 Applied econometric models in international housing markets: theories and applications RITA YI MAN LI, KWONG WING CHAU, TAT HO LEUNG AND LI MENG 2.1 Introduction 8 2.2 Hodrick-Prescott (HP) filter 8 2.3 Vector Error Correction model (VECM) and impulse response 12 2.4 The application of the Hedonic Pricing model on housing market analys es 19 2.5 Cobb Douglasfunctionfor input-output analysis 21 2.6 State Space models 25 2.7 The dichotomous Probit model 30 2.8 Conclusion 33 2.9 References 33 3 Risk averse real estate entrepreneurs in mainland China: a Probit model approach 3.1 Introduction 39 3.2 Four hypotheses 39 3.3 Literature review 42 3.4 Research method 47 3.5 Data analysis 47 3.6 Research results and analysis 48 3.7 Conclusion 51 3.8 References 52
vi Contents 4 Forecasting real estate stock prices in Hong Kong: a State Space model approach RITA YI MAN LI, YIKUN HUANG AND KWONG WING CHAU 4.1 Introduction 57 4.2 Hong Kong stock market and real estate stocks 59 4.3 A literature review on stockprice forecast method 60 4.4 Research method 61 4.5 Data description 63 4.6 Empirical study with the State Space model and results of the research 65 4.7.SWe Space modg/6effgr/br /arge sco/e companies than small companies. Why? 68 4.8 Conclusion 70 4.9 References 70 5 Market sentiment and property prices in Hong Kong: a heteroscedasticity-and-autocorrelation-consistent approach RITA YI MAN LI AND JOE FUK, KIN WONG 5.1 Introduction 80 5.2 News, market sentiment and commodityprices 81 5.3 The impact of market sentiment on real estate markets 81 5.4 Robert Shiller and Eugene Fama 's theory: can the trend of asset price be predicted? 82 5.5 Mixed research method: a combination of qualitative and quantitative data analyses 85 5.6 Heteroscedasticity-and-autocorrelation-consistent and ordinary least Square regression models 87 5.7 Research results 88 5.8 Conclusion 88 5.9 References 89 6 Superstition and Hong Kong housing prices: a Hedonic Pricing approach RITA YI MAN LI, KWONG WING CHAU, CHUI YEE LAW AND TAT HO LEUNG 6.1 Housing prices, transportation and superstition 92 6.2 Data collection 94 6.3 Hedonic Pricing model 95 6.5 Limitation of the research study 98 6.6 Conclusion 98 6.7 References 99
Contents vii Negative environmental externalities and housing price: a Hedonic model approach 101 RITA YI MAN LI, KWONG WING CHAU, M1NG HONG LI, TAT HO LEUNG AND KA WAIKWOK 7.1 Introduction 101 7.2 Research method 103 7.3 Data description 105 7.4 The research results offour econometric models 108 7.5 Discussion and conclusion 110 7.6 References 114 The impact of the subprime financial crisis on the German and Norwegian real estate markets: LI, the Chow test and the Quantile regression approach 116 RITA YI MAN LI AND JOE FUK KIN WONG 8.1 Historical background of the subprime financial crisis 116 8.2 The impact of the financial crisis on the housing market 119 8.3 The impact of the subprime financial crisis on the housing market: a global perspective 120 8.4 Data 122 8.5 Research method 122 8.6 Results 126 8.7 Conclusion 129 8.8 References 129 Housing prices and external shocks' impact on South Africa and the Czech Republic's housing prices: a Vector Error Correction model and Impulse response functions approach 131 RITA YI MAN LI, JOE CHO YIU NG, KWONG WING CHAU AND TAT HO LEUNG 9.1 Introduction 131 9.2 A general overview of the Czech Republic's housing market 132 9.3 A general overview of the housing market in South Africa 133 9.4 The relationship between the global financial environment and the housing market 133 9.5 Data description 134 9.6 Research method and results 136 9.7 Discussion of the results 143 9.8 Conclusion 144 9.9 References 144
viii Contents 10 Factors which drive the ups and downs of housing prices in Canada: a Cobb-Douglas approach 147 RITA YI MAN LI, KWONG WING CHAU AND LING SANCHI LI 10.1 Introduction 147 10.2 Literature review 147 10.3 Background information about Canada 149 10.4 Residential mortgage market in Canada 152 10.5 Research method and results 158 10.6 Conclusion 159 10.7 References 160 11 An econometric analysis on REITs cycles in Hong Kong, Japan, the US and the UK 163 11.1 Introduction 163 11.2 Factors which drive the REITs prices 164 11.3 REITs and property stocks 166 11.4 Diversificationfunction of REITs 166 11.5 Business cycle 167 11.6 Direct real estate cycle analyses 168 7V.7 11.8 The real estate market in Hong Kong, Japan, the UK and the US and data included for this study 169 11.8 Research methods and results 170 11.9 Discussion and conclusion 173 11.10 References 174 12 Conclusion: should mainstream economists neglect and undermine real estate economics? The 'Wh' questions in the international housing markets, macroeconomy and econometric models context 180 12.1 References 183 Index 185