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Title: Uncovering housing market dynamics and its corresponding commonalities
Keywords: housing market dynamics, momentum-disposition investors, expectation effect, commonality, illiquidity, GDFM
Issue Date: 19-May-2009
Citation: SUN JINGBO (2009-05-19). Uncovering housing market dynamics and its corresponding commonalities. ScholarBank@NUS Repository.
Abstract: Prevailing theories on housing price and market dynamics are limited while empirical results pertaining to their driving forces are inconsistent. A unique theoretical framework is developed to investigate such driving forces and the characteristics of housing price dynamics, adopting a momentum-disposition behavioral approach. Disposition-prone rather than momentum-prone investors predominates Singapore private housing market. Housing price dynamics in turn are characterized by composite autocorrelation and mean-reversion parameters during different periods. Housing price is cyclically associated with private consumption and housing market dynamics are driven by unobservable common factors. Housing price significantly affects consumption, depending on the time-scale and frequency domains when considering the expectation effect. Adopting a generalized dynamic factor model approach, high degrees of commonality are estimated for two groups of macroeconomic and housing market-specific series, which underlie housing market dynamics during 1988 to 2007. Reflecting housing market illiquidity, such commonality varies over time specifically being higher in the period when housing prices are more volatile. The resultant in-depth understanding of housing market and price dynamics is imperative for effective real estate investment portfolio risk management, hedging, price index construction, economic and housing policy formulation.
Appears in Collections:Ph.D Theses (Open)

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