This paper examines the existence of excess returns in the commercial property market of Hong Kong using time series data for both valuations and transactions prices. The proposition is that if the valuation series is accurately processing transactions prices then excess returns, if they exist,...

Noise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but less so in real estate. This paper is the first attempt to study the effect of noise trading on price dispersion in the real...

Big house or small house, which one should we buy? To answer this question, we employed both mean-variance approach and stochastic dominance approach that utilizes the entire yield distribution to rank the performance of the Hong Kong housing market. While mean-variance rules cannot show a clear...

This paper examines how the quantitative easing (QE) policy conducted by Japan, EU and the US raised Hong Kong's real estate prices through activities in carry trade and in Hong Kong's real estate investment trust (H-REIT) market. The empirical results demonstrated two new channels of impact....

This study applies the newly developed bubble detection method (Phillips, Wu and Yu, 2011) to identifying asset bubbles in the Hong Kong residential property market. Our empirical results show that the method is capable of detecting the 1997 bubble and is able to reveal the corresponding...

This study investigated the impact of Muslim Holy Days on daily stock returns of Asian financial markets for a period of 2001–2014. These markets include Pakistan, Bahrain, Saudi Arabia, and Turkey. The study has tried to isolate the effect of Gregorian calendar anomalies from Muslim Holy Days...

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting...