Risk and predictability of Singapore's private residential market

Xiao, Qin; Huang, Weihong

Abstract

This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present value framework, and propose an unconventional approach as a first-step to screen for structural break(s). We found that a rational speculative bubble is an important predictor of the short-run price growth, especially in volatile times. Furthermore, rent is the only fundamental having a non-negligible impact. The study suggests that the major risk facing market participants comes from unpredictable local policy shifts, and/or a potentially predictable systemic risk. © 2010 Taylor & Francis.

Citation

Xiao, Q., & Huang, W. (2010). Risk and predictability of Singapore's private residential market. Quantitative finance, 10(5), 529-543. https://doi.org/10.1080/14697680903236113

• Journal Article Type: Article
• Acceptance Date: Jul 6, 2009
• Online Publication Date: Feb 10, 2010
• Publication Date: 2010-05
• Print ISSN: 1469-7688
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 10
• Issue: 5
• Article Number: PII 919191037
• Pages: 529-543
• DOI: https://doi.org/10.1080/14697680903236113
• Keywords: Financial econometrics; Modelling asset price dynamics; Kalman filters; Econometric methodology; Empirical time series analysis
• Public URL: https://hull-repository.worktribe.com/output/424011
• Publisher URL: https://www.tandfonline.com/doi/abs/10.1080/14697680903236113