Calendar Anomalies In Residential Property Transactions

Real estate market was one of the most important markets in the world economy. Therapid development of real estate industry made an undeniable contribution to the fasteconomic growth in China. However, high house prices and its abnormal fluctuations hadbeen the focus of the public, the government and real estate developers.The price of a property was usually measured by Hedonic price model, using threekinds of its characteristics: structure, neighborhood and location. House price was not onlyaffected by characteristics in spatial dimensions, but also different trading point in timedimension. Calendar effects had been indentified in many security markets, betterunderstanding of calendar effects might help investors to grasp market opportunities, butstandard economic theory could not fully explain the phenomenon.Therefore, it wasnecessary to analyze the existence of such anomalies (e.g. calendar effect) in residentialproperty market and gave some explanations on the basis of behavioral economics.This thesis mainly used hedonic model to price the residential property, and firstintroduced calendar effect dummies to test their impacts on property price. The studycollected many important calendar effects according to literatures in financial field.Combined with transaction data in Hong Kong residential real estate from1994to2005, theinfluences of properties’ characteristics and different calendar effects during the sampleperiod had been investigated and explained.The empirical results showed significant presences of calendar effects in Hong Kongresidential property transactions. January effect, Monday effect, Turn of month effect,Post-holiday effect, Mid-Autumn effect and Christmas effect showed significant negativecoefficient; while the coefficients of March effect, Half month effect and Halloween effectwere significant positive. This conclusion could help homebuyers in their decision makingprocess.