Examining the Relationship Between Real Estate and Stock Markets in Hong Kong and the United Kingdom Through Datamining / Ryšio Tarp Honkongo Ir Jungtinės Karalystės Nekilnojamojo Turto Bei Akcijų Rinkų Nagrinėjimas Analizuojant Duomenis

Hui, Eddie C.M.; Zuo, Wen‐juan; Hu, Lun

doi:10.3846/1648715x.2011.565867

Cited by 18 publications

(9 citation statements)

References 19 publications

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“…The first two flows will generate shocks to the stock market and real estate market (Guo, Sophie 2010). The positive correlation between the real estate market and stock market has also been examined by Hui et al (2011). The results also show the co-movement between the two markets.…”

Section: Discussionmentioning

confidence: 93%

Forecasting Property Price Indices in Hong Kong Based on Grey Models

Tan

Hui

2017

International Journal of Strategic Property Management

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The real estate market in Hong Kong plays an important role in its economy. The property prices have been increasing a lot since 2009, which have become a major concern. However, few studies have been done to forecast the property price indices in Hong Kong. In this paper, two grey models, GM(1,1) and GM(0,N), are introduced for the forecasting. The results show that GM(1,1) has a better performance when forecasting with stable trend data, while GM(0,N) is more suitable for forecasting data in fluctuating trend. The sensitivity analysis for GM(0,N) shows that Population(POP) and Best Lending Rate(BLR) are significantly sensitive factors for data in stable trend. While for the fluctuating data, sensitivity of each factor presents uncertainties. This study also compares the forecasting performance of grey models with the ANN model and ARIMA model. The study demonstrates that grey models are more suitable for forecasting the Hong Kong property price indices than others.

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Section: Discussionmentioning

confidence: 93%

Forecasting Property Price Indices in Hong Kong Based on Grey Models

Tan

Hui

2017

International Journal of Strategic Property Management

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“…They found that returns of US REIT, UK direct real estate and property shares exhibited strong mean reversion, while US direct real estate returns show a considerable mean aversion effect over short investment horizons. Hui et al (2011) examined the relationship between real estate and stock markets in the UK and Hong Kong by the method of data mining. They found not only a positive correlation, but also a co-movement, between the two markets.…”

Section: Introductionmentioning

confidence: 99%

Can We Beat the “Buy-and-Hold” Strategy? Analysis on European and American Securitized Real Estate Indices

Hui

Yam

2014

International Journal of Strategic Property Management

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The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate indices. Furthermore, our results show that the trading strategy we constructed according to the Shiryaev-Zhou index generally outperforms the “buy-and-hold” strategy under the assumption of no transaction costs. The stronger the predictive power of the Shiryaev-Zhou index is, the larger extent our trading strategy beats the “buy-and-hold” strategy. This is useful in strategic property management that property practitioners can follow our strategy to trade real estate stocks/funds in order to increase their profits.

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“…(1) to discuss the correlation between the two markets on the basis of portfolios (Brounen and Eichholtz, [4]); (2) to analyze the possible market-related changes caused by financial crises (Kallberg et al, [5]); (3) to compare market characteristics (Hui et al, [6]; Tsai et al, [7]); and (4) to explore some other rarely discussed matters, such as finding evidence of a long co-memory (Wilson and Okunev,[8]).…”

Section: Introductionmentioning

confidence: 99%

Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets

Chiang

Tsai

2020

Sustainability

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In this paper, we infer that when no excess monetary liquidity exists, people tend to invest available capital in assets associated with a high return or low risk. However, when excess monetary liquidity occurs, capital may successively boost asset markets, and the stock market wealth is thus likely to spill into housing markets, resulting in bubbles in these two markets and therefore in the unsustainable development of both the housing and stock markets. This paper uses relevant data from the United Kingdom from January 1991 to March 2020 to verify whether excess monetary liquidity is a crucial factor determining the relationship between the housing and stock markets. Continuous and structural changes are found to exist between housing price and stock price returns. This paper employs the time-varying coefficient method for estimation and determines that the influence of stock price returns on housing returns is dynamic, and an asymmetrical effect can occur according to whether excess monetary liquidity exists. An excessively loose monetary policy increases asset prices and can thus easily result in a mutual rise in asset markets. By contrast, when excess monetary liquidity does not exist, capital transfer among markets can prevent autocorrelation during excessive market investment and thereby aggravate market imbalance.

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Examining the Relationship Between Real Estate and Stock Markets in Hong Kong and the United Kingdom Through Datamining / Ryšio Tarp Honkongo Ir Jungtinės Karalystės Nekilnojamojo Turto Bei Akcijų Rinkų Nagrinėjimas Analizuojant Duomenis

Cited by 18 publications

References 19 publications

Forecasting Property Price Indices in Hong Kong Based on Grey Models

Forecasting Property Price Indices in Hong Kong Based on Grey Models

Can We Beat the “Buy-and-Hold” Strategy? Analysis on European and American Securitized Real Estate Indices

Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets

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