Capture the abrupt changes in Asian residential property markets

Eddie C.M. Hui; Cong Liang; Jiawei Zhong; Wai-Cheung Ip

doi:10.1016/j.habitatint.2016.06.005

Capture the abrupt changes in Asian residential property markets

Eddie C.M. Hui
, Cong Liang^*
, Jiawei Zhong
, Wai-Cheung Ip

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

2 Citations (Scopus)

Abstract

In this paper, studies on the real estate markets mainly focused on the relationship between abrupt change points and corresponding political issues and economic collapse. Within the past statistical framework, change-point detection technique was widely considered based on large and long data sets. Few studies considered the situation where a limited size of time-series data sets is available in the real estate markets. To fill in this gap, the wavelet analysis with minimax threshold is introduced in this paper. By comparing Daubechies LA(8), wavelet analysis with minimax threshold is a versatile and powerful approach to the analysis of residential data as they are flexible in their function form and provide a robust computational method even with a small sample size. The detected change points reflect some significant political issues and economic collapses. It can be shown from the empirical result that a "diffusion relationship" happened from one location to another. © 2016 Elsevier Ltd.

Original language	English
Pages (from-to)	235-244
Journal	Habitat International
Volume	56
DOIs	https://doi.org/10.1016/j.habitatint.2016.06.005
Publication status	Published - 1 Aug 2016
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Funding

We are grateful for the financial support from the RGC GRF ( B-Q42Q/PolyU 152059/14E ) and PolyU Research Grants ( G-UA6V and G-YBJL ).

Research Keywords

CUSUM test
Economic events
Emerging market
Jump point
Property market
Wavelet analysis

RGC Funding Information

RGC-funded

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10.1016/j.habitatint.2016.06.005

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@article{6162da49935249629a08f487909951d2,

title = "Capture the abrupt changes in Asian residential property markets",

abstract = "In this paper, studies on the real estate markets mainly focused on the relationship between abrupt change points and corresponding political issues and economic collapse. Within the past statistical framework, change-point detection technique was widely considered based on large and long data sets. Few studies considered the situation where a limited size of time-series data sets is available in the real estate markets. To fill in this gap, the wavelet analysis with minimax threshold is introduced in this paper. By comparing Daubechies LA(8), wavelet analysis with minimax threshold is a versatile and powerful approach to the analysis of residential data as they are flexible in their function form and provide a robust computational method even with a small sample size. The detected change points reflect some significant political issues and economic collapses. It can be shown from the empirical result that a {"}diffusion relationship{"} happened from one location to another. {\textcopyright} 2016 Elsevier Ltd.",

keywords = "CUSUM test, Economic events, Emerging market, Jump point, Property market, Wavelet analysis",

author = "Hui, \{Eddie C.M.\} and Cong Liang and Jiawei Zhong and Wai-Cheung Ip",

note = "Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].",

year = "2016",

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doi = "10.1016/j.habitatint.2016.06.005",

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TY - JOUR

T1 - Capture the abrupt changes in Asian residential property markets

AU - Hui, Eddie C.M.

AU - Liang, Cong

AU - Zhong, Jiawei

AU - Ip, Wai-Cheung

N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

PY - 2016/8/1

Y1 - 2016/8/1

N2 - In this paper, studies on the real estate markets mainly focused on the relationship between abrupt change points and corresponding political issues and economic collapse. Within the past statistical framework, change-point detection technique was widely considered based on large and long data sets. Few studies considered the situation where a limited size of time-series data sets is available in the real estate markets. To fill in this gap, the wavelet analysis with minimax threshold is introduced in this paper. By comparing Daubechies LA(8), wavelet analysis with minimax threshold is a versatile and powerful approach to the analysis of residential data as they are flexible in their function form and provide a robust computational method even with a small sample size. The detected change points reflect some significant political issues and economic collapses. It can be shown from the empirical result that a "diffusion relationship" happened from one location to another. © 2016 Elsevier Ltd.

AB - In this paper, studies on the real estate markets mainly focused on the relationship between abrupt change points and corresponding political issues and economic collapse. Within the past statistical framework, change-point detection technique was widely considered based on large and long data sets. Few studies considered the situation where a limited size of time-series data sets is available in the real estate markets. To fill in this gap, the wavelet analysis with minimax threshold is introduced in this paper. By comparing Daubechies LA(8), wavelet analysis with minimax threshold is a versatile and powerful approach to the analysis of residential data as they are flexible in their function form and provide a robust computational method even with a small sample size. The detected change points reflect some significant political issues and economic collapses. It can be shown from the empirical result that a "diffusion relationship" happened from one location to another. © 2016 Elsevier Ltd.

KW - CUSUM test

KW - Economic events

KW - Emerging market

KW - Jump point

KW - Property market

KW - Wavelet analysis

UR - https://www.scopus.com/pages/publications/84974678537

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84974678537&origin=recordpage

U2 - 10.1016/j.habitatint.2016.06.005

DO - 10.1016/j.habitatint.2016.06.005

M3 - RGC 21 - Publication in refereed journal

C2 - 32287706

SN - 0197-3975

VL - 56

SP - 235

EP - 244

JO - Habitat International

JF - Habitat International

ER -

Capture the abrupt changes in Asian residential property markets

Abstract

Bibliographical note

Funding

Research Keywords

RGC Funding Information

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