Period

Bubble

Null hypothesis

Chi
^{2}

Sig


1993–2019

Yes

H_{0} : γ_{p} = 0and \( {\alpha}_{21}={\alpha}_{22}=\dots ={\alpha}_{2{k}_2} \) =0.

10.34355

0.4109

H_{0} : γ_{d} = 0 and \( {\beta}_{11}={\beta}_{12}=\dots ={\beta}_{1{k}_4}=0 \).

127.1764

0.0000^{a}

 Notes. \( {H}_0:{\gamma}_p={\alpha}_{21}={\alpha}_{22}=\dots {\alpha}_{2{k}_2}=0 \) tests the joint null hypothesis of no causality from longrun deviation effect and lagged changes in the rental price index to changes in the property price index returns. Chi^{2} test is for joint test
 \( {H}_0:{\gamma}_d={\beta}_{11}={\beta}_{12}=\dots {\beta}_{1{k}_4}=0 \) tests the joint null hypothesis of no causality from longrun deviation effect and lagged changes in the property price index returns to changes in the rental price index returns. Chi^{2} test is for joint test. ^{a} indicates statistical significance at the 0.01 level