The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach
This paper examines using housing supply as proxy to house prices, the causal relationship on house prices among 8 states in Malaysia by applying the Engle-Granger cointegration test and Granger causality test approach.The target states are Perak, Selangor, Penang, Federal Territory of Kuala Lumpur...
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| Format: | Conference or Workshop Item |
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AIP Publishing LLC
2014
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| _version_ | 1825804396960677888 |
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| author | Yip, Chee Yin Lim, Hock Eam |
| author_facet | Yip, Chee Yin Lim, Hock Eam |
| author_sort | Yip, Chee Yin |
| collection | UUM |
| description | This paper examines using housing supply as proxy to house prices, the causal relationship on house prices among 8 states in Malaysia by applying the Engle-Granger cointegration test and Granger causality test approach.The target states are Perak, Selangor, Penang, Federal Territory of Kuala Lumpur (WPKL or Kuala Lumpur), Kedah, Negeri Sembilan, Sabah and Sarawak.The primary aim of this study is to estimate how long (in months) house prices in Perak lag behind that of Selangor, Penang and WPKL.We classify the 8 states into two categories - developed and developing states. We use Engle-Granger cointegration test and Granger causality test to examine the long run and short run equilibrium relationship among the two categories.. It is found that the causal relationship is bidirectional in Perak and Sabah, Perak and Selangor while it is unidirectional for Perak and Sarawak, Perak and Penang, Perak and WPKL. The speed of deviation adjustment is about 273%, suggesting that the pricing dynamic of Perak has a 32- month or 2 3/4- year lag behind that of WPKL, Selangor and Penang.Such information will be useful to investors, house buyers and speculators. |
| first_indexed | 2024-07-04T06:13:52Z |
| format | Conference or Workshop Item |
| id | uum-20583 |
| institution | Universiti Utara Malaysia |
| last_indexed | 2024-07-04T06:13:52Z |
| publishDate | 2014 |
| publisher | AIP Publishing LLC |
| record_format | eprints |
| spelling | uum-205832017-01-08T08:43:22Z https://repo.uum.edu.my/id/eprint/20583/ The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach Yip, Chee Yin Lim, Hock Eam QA Mathematics This paper examines using housing supply as proxy to house prices, the causal relationship on house prices among 8 states in Malaysia by applying the Engle-Granger cointegration test and Granger causality test approach.The target states are Perak, Selangor, Penang, Federal Territory of Kuala Lumpur (WPKL or Kuala Lumpur), Kedah, Negeri Sembilan, Sabah and Sarawak.The primary aim of this study is to estimate how long (in months) house prices in Perak lag behind that of Selangor, Penang and WPKL.We classify the 8 states into two categories - developed and developing states. We use Engle-Granger cointegration test and Granger causality test to examine the long run and short run equilibrium relationship among the two categories.. It is found that the causal relationship is bidirectional in Perak and Sabah, Perak and Selangor while it is unidirectional for Perak and Sarawak, Perak and Penang, Perak and WPKL. The speed of deviation adjustment is about 273%, suggesting that the pricing dynamic of Perak has a 32- month or 2 3/4- year lag behind that of WPKL, Selangor and Penang.Such information will be useful to investors, house buyers and speculators. AIP Publishing LLC 2014 Conference or Workshop Item PeerReviewed Yip, Chee Yin and Lim, Hock Eam (2014) The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach. In: 2016 UKM FST Postgraduate Colloquium, 13–14 April 2016, Selangor, Malaysia. http://doi.org/10.1063/1.4903696 doi:10.1063/1.4903696 doi:10.1063/1.4903696 |
| spellingShingle | QA Mathematics Yip, Chee Yin Lim, Hock Eam The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title | The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title_full | The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title_fullStr | The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title_full_unstemmed | The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title_short | The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach |
| title_sort | opportune time to invest in residential properties engle granger cointegration test and granger causality test approach |
| topic | QA Mathematics |
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