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Office price index lagging in Singapore and Hong Kong

    Eddie Chi Man Hui Affiliation
    ; Ka Hung Yu Affiliation
    ; David Kim Hin Ho Affiliation

Abstract

Price discovery of real estate investment has been getting lots of attentions from researchers and it is generally believed that lagging errors exist in appraisal‐based returns of commercial real estate investments, in comparison to other investment instruments traded in the stock market. Due to fewer transactions in the commercial real estate market, it is reasonable to notice a difference in the handling of current market information. By introducing two study approaches along with a test case using Singapore's data, this paper explores the extent of lagging in Hong Kong's commercial (office) real estate values, in a State Space Model with Kaiman filter. The findings first suggest that whether appraisal‐based indices overstate or understate true values lies in the economy condition at the time. Then, commercial real estate values in Hong Kong are about three months behind the stock market property indices. Also, as indicated by the findings, data collection/selection bias may render a de‐lagged index not as efficient as it is supposed to be. This paper provides a different perspective on price discovery and the process of de‐lagging property values.


Biurų kainų indekso atsilikimas Singapūre ir Honkonge


Santrauka


Investicijų į nekilnojamąjį turtą kainos mokslininkus itin domina. Dažnai manoma, kad, palyginti su kitais akcijų biržoje siūlomais investiciniais instrumentais, investicijų į komercini nekilnojamąjį turtą grąža vertinama klaidingai dėl atsilikimo. Kadangi komercinio nekilnojamojo turto rinkoje sandoriu sudaroma mažiau, verta pabrėžti, kaip skirtingai tvarkoma aktuali rinkos informacija. Pristatant du tyrimo būdus kartu su atvejo tyrimu pagal Singapūro duomenis, šiame darbe, remiantis būsenų erdves modeliu ir naudojant Kalmaro filtrą, nagrinėjamas Honkongo komercinio nekilnojamojo turto (biuru) verčiu atsilikimas. Išvados pirmiausia rodo, kad tai, ar vertinimu pagristi indeksai padidina ar sumažina realias vertes, priklauso nuo esamu ekonominiu sąlygų. Be to, komercinio nekilnojamojo turto vertes Honkonge nuo akcijų rinkoje naudojamu nuosavybes indeksu atsilieka apie tris mėnesius. Išvados rodo ir tai, kad dėl šališko duomenųrinkimo (atrankos), neatsiliekantis indeksas gali būti ne toks efektyvus, kaip turėtu būti. Šiame darbe pateikiamas kitas kainų nustatymo būdas ir aprašomas nuosavybes vertes atsilikimo panaikinimo procesas.


First published online: 18 Oct 2010

Keyword : Price discovery, State Space Model, Kaiman filter, Commercial Real Estate (Office), values

How to Cite
Hui, E. C. M., Yu, K. H., & Ho, D. K. H. (2007). Office price index lagging in Singapore and Hong Kong. International Journal of Strategic Property Management, 11(1), 33-46. https://doi.org/10.3846/1648715X.2007.9637559
Published in Issue
Mar 31, 2007
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