Title :
Study on the Semi-Strong Form Efficiency of Housing Market: Evidence from Hong Kong
Author :
Xu, Jiana ; Huang, Ang
Author_Institution :
Postdoctoral Center, Chinese Acad. of Social Sci., Hong Kong, China
Abstract :
Hong Kong housing market is probably one of the most efficient markets in the world because of its transparent transaction information, relatively low trade cost and multiple brokerage shops. This paper performs the test on the semi-strong form efficiency of the Hong Kong housing market. A two-stage model is set up to examine whether the housing price could fully and instantaneously reflect the relevant information based on the long-term equilibrium model and error correction model. This paper adopts unique transaction-based data and covers a longer period from 1980 to 2004 in the Hong Kong housing market. The results show that the deviation of the housing price from its long-term equilibrium is just adjusted quarterly by about 53.8% instead of being corrected fully and instantaneously, which is inconsistent with the semi-strong form efficiency hypothesis. The Hong Kong housing market is not fully efficient.
Keywords :
construction industry; costing; market opportunities; Hong Kong; brokerage shops; housing market; low trade cost; semi-strong form efficiency; transparent transaction information; Biological system modeling; Correlation; Economic indicators; Error correction; Indexes; Predictive models;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5576263