Dissecting the myth of the house price in Chinese metropolises: allowing for behavioral heterogeneity among investors

摘要

This paper aims to demystify the housing boom in Chinese metropolises by allowing for behavioral heterogeneity among investors. We construct an agent-based model where investors are categorized into two groups: fundamentalists and chartists. In addition, the investment strategy switching is allowed between these two groups contingent on the historical performance. Using the data of five Chinese metropolises over the period 2008-2014, the results suggest that chartists dominate the housing market and make the house price maintain an upward trend, while fundamentalists play a stabilizing role. Specifically, fundamentalists can serve as a "price anchor" in the market, because the proportion of the fundamentalists is negatively associated with both the growth rate of the house price and the deviation relative to the fundamental value. Overall, the impact of the chartists on the house price is much greater than that of the fundamentalists, which contributes to the ever-increasing house price in Chinese metropolises.