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Article: Inflation and housing market in Shanghai

TitleInflation and housing market in Shanghai
Authors
KeywordsHousing
Inflation
Return On Investment
Shanghai
Issue Date2008
PublisherEmerald Group Publishing Limited. The Journal's web site is located at http://www.emeraldinsight.com/info/journals/pm/pm.jsp
Citation
Property Management, 2008, v. 26 n. 4, p. 273-288 How to Cite?
AbstractPurpose - This paper sets out to examine the inflation-hedging ability of housing properties in Shanghai. Design/methodology/approach - This paper examines both the short-term and long-term hedging characteristics of Shanghai residential properties against three types of inflation: actual, expected, and unexpected in the test period of 1997-2005 by using the OLS model. Two methods, the Autoregressive Integrated Moving Average (ARIMA) and the Hedrick-Prescott Filter, are used to estimate the expected inflation. Findings - The results show that, while the Shanghai housing property market does not provide a hedge against actual expected and unexpected inflation during the period, a positive real rate of return is reported in all cases. Research limitations/implications - Data limitations are due to lack of complete market transaction records and it is necessary to rely on property indices produced by the private-sector firms as a proxy for market movements. Originality/value - The paper shows that government policy in this market is still a dominant factor affecting the rate of return and it has therefore implications for the construction of an efficient investment portfolio by institutional investors.
Persistent Identifierhttp://hdl.handle.net/10722/168764
ISSN
2015 SCImago Journal Rankings: 0.331
References

 

DC FieldValueLanguage
dc.contributor.authorLi, LHen_US
dc.contributor.authorGe, CLen_US
dc.date.accessioned2012-10-08T03:32:11Z-
dc.date.available2012-10-08T03:32:11Z-
dc.date.issued2008en_US
dc.identifier.citationProperty Management, 2008, v. 26 n. 4, p. 273-288en_US
dc.identifier.issn0263-7472en_US
dc.identifier.urihttp://hdl.handle.net/10722/168764-
dc.description.abstractPurpose - This paper sets out to examine the inflation-hedging ability of housing properties in Shanghai. Design/methodology/approach - This paper examines both the short-term and long-term hedging characteristics of Shanghai residential properties against three types of inflation: actual, expected, and unexpected in the test period of 1997-2005 by using the OLS model. Two methods, the Autoregressive Integrated Moving Average (ARIMA) and the Hedrick-Prescott Filter, are used to estimate the expected inflation. Findings - The results show that, while the Shanghai housing property market does not provide a hedge against actual expected and unexpected inflation during the period, a positive real rate of return is reported in all cases. Research limitations/implications - Data limitations are due to lack of complete market transaction records and it is necessary to rely on property indices produced by the private-sector firms as a proxy for market movements. Originality/value - The paper shows that government policy in this market is still a dominant factor affecting the rate of return and it has therefore implications for the construction of an efficient investment portfolio by institutional investors.en_US
dc.languageengen_US
dc.publisherEmerald Group Publishing Limited. The Journal's web site is located at http://www.emeraldinsight.com/info/journals/pm/pm.jspen_US
dc.relation.ispartofProperty Managementen_US
dc.subjectHousingen_US
dc.subjectInflationen_US
dc.subjectReturn On Investmenten_US
dc.subjectShanghaien_US
dc.titleInflation and housing market in Shanghaien_US
dc.typeArticleen_US
dc.identifier.emailLi, LH:lhli@hku.hken_US
dc.identifier.authorityLi, LH=rp01010en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1108/02637470810894902en_US
dc.identifier.scopuseid_2-s2.0-50249133698en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-50249133698&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume26en_US
dc.identifier.issue4en_US
dc.identifier.spage273en_US
dc.identifier.epage288en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLi, LH=8418463000en_US
dc.identifier.scopusauthoridGe, CL=24723946100en_US

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