北京市住房市场泡沫实证研究----基于投资视角

将住房购买视作旨在解决自住问题的一项长期投资,通过现金流净现值、溢价率、内部收益率等指标的计算来考察一个地区住房市场是否存在泡沫及其程度。以2009年3-5月易居网上发布的二手住房出售、出租数据为基础,应用上述方法对北京市朝阳、崇文、东城、丰台、海淀、石景山、西城、宣武等8个城区住房市场研究表明,这8个城区住房市场均不同程度地存在泡沫。     

Trends and Cycles in Sydney and Melbourne House Prices from 1880 to 2011

This article provides a series of indicative house and land prices for Sydney and Melbourne for 1880–1970, which, spliced to modern data, gives price series spanning 1880–2011. The broad trends highlight no significant movement in real prices to the 1950s followed by a persistent and significant trend rise in prices in the second half of the twentieth century and into the twenty‐first century. Over this long period, there have been several cycles in house prices, the two most significant in the 1880s and an unfinished cycle in the 2000s.     

Detecting bubbles in Hong Kong residential property market

This study uses a newly developed bubble detection method (Phillips, Shi, and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, yet another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, this method has also found a bubble in early 2011 in the overall market, and in the mass segment but not in the luxury segment. This result suggests that the bubble in early 2011 in the Hong Kong real estate market was caused primarily by the mass segment under the demand pressure from end-users of small-to-medium sized apartments.     

Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets*

The present paper analyzes the behavioral relations of major investor groups in the stabilized Korean stock and futures markets after the 1997 Asian financial crisis. Investor groups cannot be classified as positive or negative feedback traders on market returns when both stock and futures markets are considered, which is inconsistent with the results in Ghysels and Seon (2005). Foreign investors and domestic institutions tend to take opposite positions in both markets. The impact of foreign investors on the basis change is significantly negative in the futures market, whereas domestic institutions have a negative relation in the stock market. This supports the view that selling activity of foreign investors in the futures market pulls the futures price down compared with the index value and, consequently, induces the reverse cash‐and‐carry trade of domestic institutions. This relationship, which negatively influenced the Korean economy during the crisis, as shown in Ghysels and Seon (2005), still exists in the Korean financial markets.