Housing Market Effiency Based On The Pricing Information Transmission

Nowadays, research on housing market efficiency based on price information transmission attracts profound interests in overseas countries. It has great significance to refer the frontier research idea and methodology abroad to analyze the housing market efficiency theories and empirically study realities in China.On the theoretical analysis aspect, this thesis summarized the information transmission theory and market efficiency theory, discussed the evaluation method of housing market temporal efficiency, and gave the conclusion of the thread of housing market temporal efficiency evaluation. For temporal efficiency, if current housing price in a city can reflect all historical information of housing price in it timely and completely, we could say this housing market has satisfied the weak-effective conditions of temporal efficiency, also known as reached the requirements of the lowest efficiency in time dimension. For spatial efficiency, if current housing price in a city can reflect all historical information of house prices in other cities timely and completely, we could say the housing market of this city and information source cities has satisfied the weak-effective conditions of spatial efficiency, also known as reached the requirements of the lowest efficiency in space dimension.On the empirical study aspect, to evaluate housing market temporal efficiency, this thesis collected monthly data(2001-2007) of house price indexes of six cities such as Beijing and Shanghai in China and seven cities such as Seoul and Busan in Korea, and did empirical inspect with autocorrelation test, variance ratio test, and autoregressive model. The conclusion was that neither the temporal efficiency of housing market in China nor that in Korea reached the requirements of weak form efficiency. Compared with Korea, the housing price in China reflected historical information even slower, so there were more opportunities to arbitrage in market. In other words, the temporal efficiency of China was lower than that of Korea. In order to evaluate housing market spatial efficiency, this thesis collected monthly data(2005-2007) of house price indexes of seven cities such as Beijing and Shanghai in China, which distributed in north China, east China, south China and southwest region, and seven cities such as Washington in US, which distributed in east coast region, the central region, and west coast region. Then empirical inspect was did with vector autoregressive model, Granger causality test, and impulse response test. The result indicated that the housing market spatial efficiency failed to reach the requirements of weak form efficiency in China and US. Compared with US, the speed of intercity housing market information transmitting in China was even slower and the utilizable historical information lasted longer. So it was more possible to gain abnormal profit by analyzing historical information. In other words, the spatial efficiency in China was lower.In conclusion, this thesis suggested: 1) to improve the timeliness, integrity and accuracy of housing market information for increasing the housing market temporal efficiency; 2) to accelerate the information construction of intercity housing market for increasing the housing market spatial efficiency; 3) to improve the statistical method of housing price information to make the market information more comprehensive and effective.