The Impact of Investor Sentiment on Housing Prices and the Property Stock Index Volatility in South Africa

Abstract While prior studies have examined the predictive effect of macroeconomic and country risk components on property stock index dynamics, limited explanations exist in literature regarding time-varying investor sentiment housing prices. Accordingly, this study assesses impact properties’ returns conditional volatility price indices under different market conditions, using GARCH, GJR-GARCH, E-GARCH Markov-switching VAR models. We found to significantly premium returns, where increased with positive changes sentiment, decreased same sentiment. Investor exerts influences prices small medium houses, both bullish bearish conditions but does not affect large segment. This makes implementation risk-related diversification across real estate portfolios more effective than portfolios. Our findings show that is a plausible driver mass redemption actions uncertainty.