News Effects and Structural Shifts in Price Discovery in Hong Kong

News Effects and Structural Shifts in Price Discovery in Hong Kong This paper examines two questions about the temporal stability of the price discovery relationship using data from Hong Kong. We first study the extent to which abnormally large returns (positive or negative) to securitized real estate are transferred to the returns in the direct real estate market. Our regressions show that price discovery is much reduced in the period following a news event. They show that the estimate of the long run price discovery effect also is reduced once we control for news effects. The second question we examine is whether the price discovery relationship is stable over time. The evidence appears to indicate that the post-1994 period was different from the preceding period. The change in the strength of the price discovery effect may be linked to a change in banking regulations in February 1994 that limited banks' risk exposure to real estate loans by capping them at 40 percent of total lending or to anti-speculative measures introduced by the government in the second quarter of 1994 to curb speculation in the residential market. Our statistical tests of structural stability give mixed results and are therefore inconclusive. These findings suggest that the size of the price discovery effect depends upon the amount of real estate information embedded in the history of securitized returns. The findings further suggest that the securitized return series itself may be an incomplete measure of the quantum of information. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

News Effects and Structural Shifts in Price Discovery in Hong Kong

Loading next page...
 
/lp/springer_journal/news-effects-and-structural-shifts-in-price-discovery-in-hong-kong-vmhsI7VB9S
Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2003 by Kluwer Academic Publishers
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1023/A:1024732521745
Publisher site
See Article on Publisher Site

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial