- Title
- Trends and volatility in residential property prices in South Africa
- Creator
- Anyikwa, Izunna Chima
- Subject
- Housing -- Prices -- South Africa
- Date Issued
- 2012
- Date
- 2012
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- vital:9012
- Identifier
- http://hdl.handle.net/10948/d1018221
- Description
- This study sought to empirically investigate trends and volatility in residential property prices in South Africa using quarterly data over the period 1980Q1 to 2011Q4. The empirical analysis uses a range of unit root and stationarity tests as well as a number of ARCH-family of models. The results from the trend analysis suggest that the behaviour of house prices in South Africa follows a random walk process. The randomness in the behaviour of house prices could be attributed to permanent effect of shock. Investigation into the dynamic behaviour of the house prices supports the existence of conditional volatility that is time-varying and highly persistent. Moreover, volatility is found to be asymmetric in news suggesting evidence of anti-leverage effects. These findings have important portfolio implications especially, considering the fact that large-scale losses are possible if house prices exhibit the type of persistent in behaviour as captured in this study. Also, the existence of asymmetric effects in volatility suggests that more caution needs to be placed on news arrival as they may have significant impacts on the house price behaviour. Accordingly, this study suggests the need for residential property market to be treated like other asset markets with regards to risk.
- Format
- x, 144 leaves
- Format
- Publisher
- Nelson Mandela Metropolitan University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela Metropolitan University
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