The de-trended cross-correlation analysis (DCCA) is converted to a new form, which turns out to be a periodic function modulated power-law, to evaluate discrete-scale long-range cross-correlation between time series. If the modulator is dominated with one frequency, the derived form will...

This study investigates the extent to which returns from the listed real estate sector are related to returns in the direct real estate market for the US and for six European countries: France, Germany, the Netherlands, Sweden, Switzerland and the UK. Past research has often used valuation based...

Since the early 1980s, the debate surrounding speculative bubbles has never subsided. A key obstacle to resolving this issue is the identification problem. A bubble is usually inferred from some assumed fundamental determinants of a price. These assumptions could be oversimplified. Furthermore,...

The property market of Hong Kong is one of the most volatile in the world. This study attempts to investigate the proposition that the Hong Kong residential market is only driven by fundamentals. The investigation is based on a Markov switching present value model, which explicitly accounts for...

The present value model states that the price of an asset is equal to the properly discounted future cash flows generated by this piece of asset. This view needs to be modified in real estate markets. Agents in a real estate market can be broadly divided into those who buy to use and those who...

The standard literature usually models the price dynamics as a martingale process with the assumption that asset markets are continuously efficient. A casual glance at the experiences of the world would suggest otherwise. In this study, we differentiate ourselves by explicitly model the...

The central question of investigation in this study is the stability of housing markets and their related sectors. A feature of the theoretical framework established in this study is that it accounts for heterogeneity among economic agents, as well as slow information diffusion, as in Hong and...

The current study attempts to investigate the proposition that Hong Kong residential market is only driven by a rational speculative bubble, in addition to fundamentals. The fundamentals are chosen according to the present value model, but will account for latent private information. Potential...

Between June 1998 and March 2006, the price index of apartment housing in Seoul, Republic of Korea, more than doubled, while fundamentals such as gross domestic product, wage, and population increased by less than 35%. This study examines the role of a rational speculative bubble in this price...