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The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
Research Collection School Of Economics
The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we decompose house prices in China into fundamental and non−fundamental components. We also consider potential nonlinear feedback from the historical growth rate of house prices on the current house prices and propose a semiparametric approach to estimate the speculative components in the model. We demonstrate that the non−fundamental part contributes a relatively …
Effects Of Technological Improvement In The Ict Producing Sector On Business Activity, Hian Teck Hoon, Edmund S. Phelps
Effects Of Technological Improvement In The Ict Producing Sector On Business Activity, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
It seems to be taken for granted by many commentators that the sharp decline in prices of computers, telecommunications equipment and software resulting from the technological improvements in the information and communications technology (ICT)-producing sector is good for jobs and is a major driving force behind the non-inflationary employment miracle and booming stock market in the latter half of the nineties in the U.S. and their recurrence since 2004. We show that, in our model, a technical improvement in the ICT-producing sector by itself cannot explain a simultaneous increase in employment and a rise in firms’ valuation (or Tobin’s Q …
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting
Research Collection School Of Economics
We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.