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http://dx.doi.org/10.9708/jksci.2022.27.09.243

Market sentiment and its effect on real estate return: evidence from China Shenzhen  

LI, ZHUO (Dept. of Economics & Finance, The university of Suwon)
Publication Information
Journal of the Korea Society of Computer and Information / v.27, no.9, 2022 , pp. 243-251 More about this Journal
Abstract
In this paper, we propose a phenomenon that analyze the impact of market sentiment on China's real estate market through the perspective of behavioral economics. Previously, real estate market analyzation basically focus on some fundamental principles which include market price, monetary policies and income, etc. However, little research has explored market sentiment and its influence. By using principal components analysis (PCA), this study first creates buyer's sentiment and seller's sentiment to measure the heat of China's real estate market. Different from using traditional estimation method, the vector autoregressive model (VAR) is used to analyze how both sentiments affect real estate return. The overall results show that from unit root test and impulse response analyzation, the impact of seller's sentiment is positive to real estate market while buyer's sentiment is negative. At the same time, the higher seller's sentiment will have different influence on the housing market compared with the higher buyer's sentiment.
Keywords
Behavior economics; Market sentiment; Housing market; PCA; VAR model;
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