Up Next

Market-Based Solutions to Vital Economic Issues


Kenan Institute 2022 Annual Theme: Stakeholder Capitalism
Market-Based Solutions to Vital Economic Issues
Feb 29, 2020

What Influences the Real Estate Price Volatility in Hong Kong: An ARMA-GARCH Analysis


In this paper, we apply the ARMA-GARCH model to Hong Kong real estate market. We analyzed the monthly data of housing, office retail and factories from February 1993 to February 2019. The result of ARCH LM test indicates that volatility clustering is shown in there four kinds of real estate. The price volatility of housing is influenced by foreign exchange rate, especially the USD exchange rate. The commercial real estate market shows different, they are all influenced by unemployment. All these real estate shows limited inflation hedging ability in a short period. The result of the EGARCH model shows there were no asymmetric effects in the real estate market.

Note: Research papers posted on SSRN, including any findings, may differ from the final version chosen for publication in academic journals.   

View Publication on Journal Site

You may also be interested in: