Price Dynamics in Public and Private Commercial Real Estate Markets

Fan, Ying; Yavaş, Abdullah

doi:10.1007/s11146-020-09773-6

Cited by 11 publications

(5 citation statements)

References 47 publications

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“…In the financial data, the wavelet technique (co-movement and lead-lag effect) is recently used to analyse multi-markets for stocks (Sun and Xu, 2018). Similarly, wavelets are also used for the changing points from the trend for real estate (Hui et al , 2010; Zhou, 2012; Fan and Yavas, 2020).…”

Section: Methodological Frameworkmentioning

confidence: 99%

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Ahmed

Jawaid

2022

IJHMA

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Purpose The study is intended to find out the relationship between housing prices and the inflow of foreign capital in Pakistan. There is a shortage of housing units due to rising population and rural–urban migration since its inception; on the other hand, there is also a lack of housing finances. The urban sprawl has created the demand for housing units, but the supply of housing has not been increased up to the required level, the major reason is a deficiency of housing finances. Design/methodology/approach The analysis was carried out from 1973 to 2018, on an annual, quarterly and monthly basis; the structural changes are captured by the Zivot–Andrews unit root test. Gregory–Hansen test is used for cointegration, the combined cointegration also validates the results. In addition, the rolling window is used to capture timely changes between data sets. Finally, wavelet analysis is used to prove volatility. Findings The rising prices of housing in the country is alarming; Pakistan is a developing country, and it is facing many problems along with a housing shortage. The domestic sources of housing finances are inadequate, so foreign funds are welcomed. The rolling window regression proves that domestic factors along with the foreign capital inflow affect housing prices positively, and the wavelet analysis finds out that foreign direct investment is more volatile than workers’ remittances in financing the housing market. Originality/value This is a pioneering study to find out the impact of foreign capital inflows on the housing prices in the economy of Pakistan. The inadequacy of housing finances from domestic sources attracted foreign funds financing this sector. This study has used new techniques like rolling window and wavelet transformation, such techniques have not been used before.

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Section: Methodological Frameworkmentioning

confidence: 99%

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Ahmed

Jawaid

2022

IJHMA

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“…Because economic recovery is so unequal across many economies, it is exceedingly challenging to anticipate, with any degree of accuracy, how changes in corporate policy and consumer preferences would affect the worth of commercial real estate. Acknowledging these difficulties, we attempt to conduct a scenario analysis to examine how a shift in the demand for commercial real estate can impact fair prices (Meng, et al, 2021) To do this, a smaller group of economies for which statistics are available are added to the model's expansion to include vacancy rates. Then, we shock the model with a sustained increase in vacancy rates to replicate a persistent shock to the demand for goods and services specifically related to commercial real estate.…”

Section: Real Estate Prices and Pandemic Impactmentioning

confidence: 99%

Covid-19 Impact to Retail, Hospitality, and Office Space in Malaysia

Isa,

Razali,

Azmi

et al. 2024

Real Estate Management and Valuation

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The COVID-19 pandemic has disrupted economies and industries worldwide, including the real estate sector. This study aims to assess the effects of the pandemic on commercial real estate prices in the Malaysian market. By examining variations in property types and considering key factors influencing pricing, the research contributes to a better understanding of the pandemic’s impact on the real estate market. To analyze the effects of the COVID-19 pandemic on commercial real estate prices, a mixed-method approach was employed. The study combines data from direct real estate indices, which provide insights into property prices based on transaction data, and listed real estate, which includes publicly traded real estate investment trusts (REITs). By utilizing both sources, a comprehensive analysis of the market is achieved. The sample for this study consists of commercial real estate properties in the Malaysian market. It includes properties from various sectors, such as retail, hospitality, and office buildings. The sample is representative of the overall market and captures the different property types affected by the pandemic. The analysis begins by comparing direct real estate indices to highlight the limitations and potential biases associated with using these indices. It then examines the variations in commercial real estate prices during the COVID-19 outbreak, focusing on the different property types. Statistical techniques, such as regression analysis and trend analysis, are employed to identify patterns and quantify the impact on commercial real estate prices. The study’s main findings reveal that the retail and hospitality sectors experienced the most significant impact on commercial real estate prices during the COVID-19 pandemic. These sectors witnessed a substantial decline in property values due to restrictions, lockdown measures, and reduced consumer demand. Office buildings, although moderately affected, also experienced some decline in prices. This research contributes to the existing literature on the effects of the COVID-19 pandemic on commercial real estate prices, specifically in the Malaysian market. By combining data from direct and listed real estate sources, the study provides a comprehensive understanding of the variations in property prices across different sectors. The findings offer valuable insights for real estate investors, policymakers, and industry professionals in adapting to the changing market conditions and making informed decisions regarding commercial real estate investments. In conclusion, this article sheds light on the effects of the COVID-19 pandemic on commercial real estate prices in the Malaysian market. The research methodology, which combines data from direct and listed real estate, allows for a comprehensive analysis of property variations among different sectors. The findings emphasize the significant impact on the retail and hospitality sectors, while showing office buildings to have been moderately affected. It also provides important insights for stakeholders in the real estate industry, enabling them to make informed decisions and develop appropriate strategies.

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“…The findings have reported the variation of efficiency and complexity across cities. Fan and Yavas (2020) examined the relationship as well as the pattern between markets of real estate (private and public) by using the wavelet technology and found that although the co-movement between these two markets is weak as well as time-domain, however, it is increasing gradually. Although, real estate market fluctuates because of many factors, however, microeconomic and financial uncertainties also affect this market.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Dynamic co-movement and interdependency among real estate index in China: a multi-scale multiple correlation analysis

Khalfaoui

Tiwari

Alqahtani³

et al. 2021

IJHMA

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Purpose This study aims to investigate the dynamic co-movement and interconnection among 69 security investment indices in China using the multi-time scale framework. Design/methodology/approach The authors first use the multiple coherence analysis method to exhibit the degree of relationships among the variables under study. In addition, the wavelet multiple correlation and wavelet multiple cross-correlation analyses are used to examine the time-frequency synchronization interdependence structure among the variables. Findings From the empirical findings, one may infer less opportunity for portfolio diversification at higher time scales. Obviously, at these scales, the authors find that the 69 Chinese investment indices generate a simple security investment class, as indicated by higher interconnection between the indices. Research limitations/implications Further research can increase the sample size to re-investigate the empirical relationship for security investment indices. Practical implications In the nutshell, the results demonstrate the potential for Chinese investors to invest in security investment indices to earn from portfolio diversification at lower time frequencies. The Chinese investment market indices under study yield further opportunities of portfolio diversification toward the short-term investors than the long-term investors. Originality/value To the best of the authors’ knowledge, this is the first paper to examine the dynamic co-movement and interconnection for security investment indices in China.

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Price Dynamics in Public and Private Commercial Real Estate Markets

Cited by 11 publications

References 47 publications

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Foreign capital inflow and housing prices in a developing country: an advanced econometric enquiry

Covid-19 Impact to Retail, Hospitality, and Office Space in Malaysia

Dynamic co-movement and interdependency among real estate index in China: a multi-scale multiple correlation analysis

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