The Impact of Investor Sentiment on Housing Prices and the Property Stock Index Volatility in South Africa

• Autorzy: Paul-Francois Muzindutsi , Richard Apau , Lorraine Muguto , Hilary Tinotenda Muguto
• Języki publikacji: EN

Abstrakty

EN

While prior studies have examined the predictive effect of macroeconomic and country riskcomponents on property stock index dynamics, limited explanations exist in the literatureregarding the time-varying effect of investor sentiment on housing prices. Accordingly, thisstudy assesses the impact of investor sentiment on housing properties' returns and the effectof investor sentiment on the conditional volatility of housing price indices under differentmarket conditions, using GARCH, GJR-GARCH, E-GARCH and Markov-switching VAR models.We found investor sentiment to significantly impact the risk premium of the property returns,where property returns increased with positive changes in investor sentiment, and conditionalvolatility of property returns decreased with the same changes in investor sentiment. Investorsentiment exerts positive predictive influences on the prices of small and medium houses, inboth bullish and bearish market conditions but does not affect the large housing marketsegment. This makes the implementation of risk-related diversification across small andmedium real estate portfolios more effective than large real estate portfolios. Our findingsshow that investor sentiment is a plausible driver of mass investor redemption actions underconditions of uncertainty. (original abstract)

Słowa kluczowe

EN

Dwellings; Property prices indices; Real estate

PL

Mieszkania; Indeksy cen nieruchomości; Nieruchomości

• Czasopismo: Real Estate Management and Valuation
• Rocznik: 2023
• Numer: vol. 31, iss. 2
• Strony: 1--17

Twórcy

autor

Paul-Francois Muzindutsi

• University of KwaZulu-Natal, University Road

autor

Richard Apau

• University of KwaZulu-Natal, University Road

autor

Lorraine Muguto

• University of KwaZulu-Natal, University Road

autor

Hilary Tinotenda Muguto

• University of KwaZulu-Natal, University Road

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Identyfikatory

DOI

doi.org/10.2478/remav-2023-0009