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PROPERTY MARKETA case study on return distribution between HK property market & stock market,[object Object],Hong Kong Polytechnic University ,[object Object],AF4343  Quantitative Methods for Finance ,[object Object],(Block VI 2008/09),[object Object],Student 1,[object Object],Student 2,[object Object],Student 3,[object Object],June 14, 2009,[object Object]
Our Team,[object Object],Student 1,[object Object],Student 2,[object Object],Student 3,[object Object],2,[object Object]
Overview,[object Object],Introduction: Background Thought & Motivation,[object Object],The Background: Hong Kong Property &   Equity Market,[object Object],The Data:  The Sampling Process & Data Description,[object Object],The Analysis: Statistical & Quantitative approach ,[object Object],Findings,[object Object],Summary,[object Object],Reference,[object Object],3,[object Object]
Introduction,[object Object],Our Motivation & Project Descriptor,[object Object]
Major Investment Tools to Hong Kong Property Market,[object Object],5,[object Object]
Background Thought & Motivation,[object Object],Good economy  booming 1st & 2nd hand property market.,[object Object],Recession  property market going down? (oop! ~ some noise!),[object Object],Does the property market go with the same direction as the stock market? Especially during recession.,[object Object],Most people consider REITs as an alternative way to invest the property.  In terms of class of properties, is the potential return of private sector higher than that of ,[object Object],     REITs?  (i.e., should investors invest in REIT ,[object Object],     rather than property market?),[object Object],6,[object Object]
Hong Kong Equity MarketHang Seng Index,[object Object],Hang Seng Index,[object Object],(Apr 1999 ~ Mar 2009),[object Object],Monthly Returns on HSI,[object Object],(Apr 1999 ~ Mar 2009),[object Object],7,[object Object],Sources:  www.yahoo.com.hk,[object Object]
Hong Kong Property MarketCenta-City Index (“CCI”),[object Object],Centa-City Index,[object Object],(Apr 1999 ~ Mar 2009),[object Object],Monthly Returns on CCI ,[object Object],(Apr 1999 ~ Mar 2009),[object Object],8,[object Object],Sources:  www.centadata.com,[object Object]
Hong Kong Property MarketCenta-City Leading Index (“CCL”),[object Object],Centa-City Leading Index,[object Object],(Apr 1999 ~ Mar 2009),[object Object],Monthly Returns on CCL,[object Object],(Apr 1999 ~ Mar 2009),[object Object],9,[object Object],Sources:  www.centadata.com,[object Object]
Hong Kong Property EquitiesREIT & Property & Construction Stocks,[object Object],Monthly Returns on  REITs ,[object Object],(Nov 2007~ Mar 2009),[object Object],Monthly Returns on Property & Construction Equities (Mar 03 ~ Mar 2009),[object Object],10,[object Object],Sources:  www.yahoo.com.hk,[object Object]
Hong Kong Property Market & Equity Market,[object Object],Monthly Returns between Equity Market (Hang Seng Index) and Property Market (Centa-City Index) – Apr 1999 ~ Mar 2009,[object Object],11,[object Object]
Hong Kong Property Market & REIT,[object Object],Monthly Returns between Listed Property Equity (REITs) and Property Market (Centa-City Index) – Nov 2007 ~ Mar 2009,[object Object],12,[object Object]
Hong Kong Equity Market & REITs,[object Object],Monthly Returns between Equity Market (Hang Seng Index) and Listed Property Equity (REITs) - Nov 2007 ~ Mar 2009,[object Object],13,[object Object]
The Objectives,[object Object],To Study the return distribution of HK property market and its correlation to equity market, and ,[object Object],To answer the following questions:,[object Object],Correlation Test:,[object Object],Property Market (CCI) to Equity Market (HSI), ,[object Object],Property Market (CCI) to REITs,[object Object],Property Market (CCI) to Equities of Property & Construction Companies,[object Object],	(P&C Constituent), and ,[object Object],Equity Market (HSI) & REITs,[object Object],Return Comparison:  is property market do better than,[object Object],Market return  (RCCI – Rm) ,[object Object],HKMA saving rate  (RCCI – Rf),[object Object],REIT (RCCI – RREIT),[object Object],Equity of Property & Construction Companies (RCCI – Rppty_stock),[object Object],Impact of economic factors to Property Market’s performance (sensitivity analysis of CCI’s response to various economic factors, such as GDP, inflation rate, HSI, unemployment rate, risk-free rate, lending rate, agreement of sales & purchase of property … etc.  By running regression and ANOVA),[object Object],14,[object Object]
Our Findings,[object Object],15,[object Object]
The Background,[object Object],Hong Kong Property, Stock Market, and REIT ,[object Object]
HK Property Market,[object Object],Market was hard hit with further downward adjustments ,[object Object],Average effective office rental in the Grade A market slipped further ,[object Object],   by   15.7% quarter vs quarter to HK$47.56 per sq ft per month ,[object Object],Average luxury residential price declined 7.4% quarter vs quarter ,[object Object],   to HK$10,630 per sq ft ,[object Object],Retail property adjustment was less severe than that in 2003 ,[object Object],Industrial rentals fell 9%-10% quarter vs quarter ,[object Object],17,[object Object]
Centa-City Index –Measurement for Private Ownership,[object Object],    To Provide information to the public as a source of reference on trends in Hong Kong's property market, Centaline Property Agency Limited and City University of Hong Kong jointly developed a index that reflect the Hong Kong property price trend.  ,[object Object],Centa-City Index (“CCI”),[object Object],Centa-City Leading Index (“CCL”),[object Object],18,[object Object]
Centa-City Index –Measurement for Private Ownership,[object Object],    Centa-City Index (“CCI”),[object Object],    A monthly index based on all transaction records as registered with the Land Registry to reflect property price movements in previous months.,[object Object],  ,[object Object],19,[object Object]
Centa-City Index –Measurement for Private Ownership,[object Object],    Centa-City Leading Index (“CCL”),[object Object],    A weekly index based on the current preliminary contract prices in Centaline Property Agency Limited transactions that monitors the up-to-date property price variations ,[object Object],20,[object Object]
REITs –Measurement for Public Ownership,[object Object],Real Estate Investment Trust ("REIT")provide similar structure for investment in real estate as mutual funds provide for investment in stocks.  ,[object Object],It can be publicly or privately held. Public REITs are traded on public stock exchange, like HKEx. ,[object Object],REITs is a tax designation for a corporation investing in real estate that reduces corporate income taxes.  In return, it is required to distribute 90% of their income to investors.  ,[object Object],21,[object Object],Source: HKEx, HSI,[object Object]
REITs –Measurement for Public Ownership,[object Object], 	The key statistics to look at in a REIT are its NAV (Net Asset Value), AFFO (Adjusted Funds From Operations) and CAD (Cash Available for Distribution). REITs face challenges from both a slowing economy and the global financial crisis, depressing share values by 40 to 70 percent in some cases,[object Object],22,[object Object],Source: HKEx, HSI,[object Object]
REITs –Measurement for Public Ownership,[object Object],The Hang Seng REIT Index (“REIT Index”) is a benchmark that tracks the performance of REITs listed in Hong Kong.,[object Object],Launch in late Oct 2007,[object Object],Moderate correlation with Hang Seng Index,[object Object],Constituents:  ,[object Object],23,[object Object],Source: HKEx, HSI,[object Object]
Listed Equity in Property & Construction Market – as benchmark,[object Object],The HSI – Properties Sub-Index is a benchmark that tracks the performance property and construction companies listed in Hong Kong.,[object Object],High correlation with Hang Seng Index,[object Object],Constituents:,[object Object],24,[object Object],Source: HKEx, HSI,[object Object]
The Data,[object Object],The Sampling Process & Data Description,[object Object]
The Assumptions ,[object Object],Independent samples,[object Object],Normal distribution,[object Object],Similar properties & REITs face similar market condition and have their returns behaved similarly,[object Object],26,[object Object]
Data Description,[object Object],27,[object Object]
Sampling Process ,[object Object],The study period is 10 years, from Apr 1999 to Mar 2009.  ,[object Object],Due to limited data provided, the study on HK REITs is limited to a relatively short period of time, from Dec 2007 to Mar 2009.  ,[object Object],For each of them, calculated descriptive statistics and correlation among each investment tools,[object Object],Then, apply quantitative tests to answer our questions,[object Object],28,[object Object]
Our Approach,[object Object],The Analysis: Statistical & Quantitative Approach,[object Object]
Assumption:  Property Returns Normally Distributed,[object Object],Returns Distribution,[object Object],Approximately normally distributed,[object Object],Symmetric around 0,[object Object],Bell-shaped,[object Object],Affected by sample size,[object Object],30,[object Object]
Hypothesis Testing & Regression Analysis,[object Object],	Hypothesis Testing or Regression will be preformed to exam the relationship between property market and various financial tools in view of:,[object Object],Correlation ,[object Object],[object Object]
CCI & REIT
CCI & properties & construction companies’ stocks
REIT & HSIReturns comparison between CCI and the followings,[object Object],[object Object]
Risk free rate,
REIT, and
Property & Construction companies stocksEconomic Factors effects on CCI, such as unemployment rate, best lending rate, GDP, price level, deposit saving rate, … etc.,[object Object],31,[object Object]
Hypothesis Testing,[object Object],1.  To test correlation between two returns, r1 & r2,[object Object],2.  To test returns between two investment tools, r1 & r2,[object Object],Ho: ρ1,2 = 0,[object Object],H1: ρ1,2 ≠ 0,[object Object],Choose t test (∵assume normally distributed & unknown variance),[object Object],5% & 10% level of significance,[object Object],Degree of freedom = n - 2,[object Object],Two- tailed test,[object Object],Reject Ho if t value > ± t(α/2, df),[object Object],Ho: r1 – r2≥ 0,[object Object],H1: r1 – r2< 0,[object Object],Choose t test (∵assume normally distributed & unknown variance),[object Object],5% & 10% level of significance,[object Object],Degree of freedom = n1 +n2-2,[object Object],One- tailed test,[object Object],Reject Ho if t value > - t(α, df),[object Object],32,[object Object]
Regression,[object Object],We use multiple regression model: ,[object Object],Dependent Variable: Property Market Return (i.e., CCI monthly returns),[object Object],Candidate of Independent Variable:  ,[object Object],Equity Market Return (i.e., Hang Seng Index),[object Object],Price Level (i.e., CPI or inflation rate),[object Object],Best lending rate,[object Object],Unemployment rate,[object Object],GDP,[object Object],Risk free rate(HKMA exchange fund bill yield rate),[object Object],Saving deposit rate,[object Object],Agreement of sales & purchase,[object Object],33,[object Object],3.  Regression Analysis,[object Object]
Our Findings,[object Object],Results & Limitation,[object Object]
Results – Hypothesis Testing,[object Object],35,[object Object]
Results – Regression Analysis,[object Object],36,[object Object]

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QM Project presentation - HK Property Market Return

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Editor's Notes

  1. Correlation betweenProperty Market &amp; Stock MarketProperty Market &amp; REITREIT &amp; Stock Market REIT’s excess returns &gt; 0? In view of Market return (Ri – Rm) HKMA saving rate (Ri – Rf)Impact of economic factors to IPO stock performance (such as growth of GDP, CPI, stock market index, risk-free rate, … etc)
  2. 中原城市指數 Centa-City Index (“CCI”)The &quot; Centa-City Index &quot; is a monthly index based on all transaction records as registered with the Land Registry to reflect property price movements in previous months.
  3. 中原城市領先指數 Centa-City Leading Index (“CCL”)The “ Centa-City Leading Index ” is a weekly index based on the current preliminary contract prices in Centaline Property Agency Limited transactions that monitors the up-to-date property price variations.
  4. To be updated
  5. IntroductionWhat is IPO?Incentives for going public in HK market
  6. Sampling processAssumptionsRandom sampling
  7. Normal distribution?Hypothesis testingRegression analysis
  8. Property Market &amp; Stock MarketProperty Market &amp; REITREIT &amp; Stock Market
  9. ResultsLimitation
  10. Conclusion