Cointegration of matched home purchases and rental price indexes: Evidence from Singapore

• Main Authors: BALTAGI, Badi H., JING LI
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Cointegration; Housing market; Market efficiency; Purchase and rental price; Singapore; Asian Studies; Economics; Real Estate; Urban Studies and Planning
• Online Access: https://ink.library.smu.edu.sg/soe_research/1840; https://ink.library.smu.edu.sg/context/soe_research/article/2839/viewcontent/P_ID_52939_MarketEfficiency_090815_1.pdf
• Institution: Singapore Management University

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value...