On price co-movement and volatility spillover effects in China’s housing markets
The soaring property prices in many Chinese cities have recently attracted increasing attention. This study uses the data on housing price indices from January 2005 to December 2014 in 10 large Chinese cities to analyze volatility spillover effects and to identify the determinants of price co-moveme...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2017-07-01
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| Series: | International Journal of Strategic Property Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/IJSPM/article/view/1800 |
| _version_ | 1819293953449525248 |
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| author | Yingliang Weng Pu Gong |
| author_facet | Yingliang Weng Pu Gong |
| author_sort | Yingliang Weng |
| collection | DOAJ |
| description | The soaring property prices in many Chinese cities have recently attracted increasing attention. This study uses the data on housing price indices from January 2005 to December 2014 in 10 large Chinese cities to analyze volatility spillover effects and to identify the determinants of price co-movement across the China’s regional housing markets. This research proposes a novel dynamic spatial panel data model that accounts for multivariate asymmetrical generalized autoregressive conditional heteroskedasticity components in disturbances to address these issues empirically. Results reveal that housing prices in cities are significantly influenced by population, income, mortgage rates, policy factors, and the national macroeconomic situation. The analysis further indicates that the housing returns of regions in China that are in close geographic and economic proximities exhibit strong co-movement and volatility spillovers. Evidence of significantly positive leverage effects in regional housing markets is also determined. This study’s findings have significant implications for academic researchers, financial experts, and policy makers. |
| first_indexed | 2024-12-24T04:18:37Z |
| format | Article |
| id | doaj.art-c25a3390de9f4c0f854111290627b228 |
| institution | Directory Open Access Journal |
| issn | 1648-715X 1648-9179 |
| language | English |
| last_indexed | 2024-12-24T04:18:37Z |
| publishDate | 2017-07-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | International Journal of Strategic Property Management |
| spelling | doaj.art-c25a3390de9f4c0f854111290627b2282022-12-21T17:15:53ZengVilnius Gediminas Technical UniversityInternational Journal of Strategic Property Management1648-715X1648-91792017-07-0121310.3846/1648715X.2016.1271369On price co-movement and volatility spillover effects in China’s housing marketsYingliang Weng0Pu Gong1School of Management, Huazhong University of Science and Technology, Wuhan 430074, ChinaSchool of Management, Huazhong University of Science and Technology, Wuhan 430074, ChinaThe soaring property prices in many Chinese cities have recently attracted increasing attention. This study uses the data on housing price indices from January 2005 to December 2014 in 10 large Chinese cities to analyze volatility spillover effects and to identify the determinants of price co-movement across the China’s regional housing markets. This research proposes a novel dynamic spatial panel data model that accounts for multivariate asymmetrical generalized autoregressive conditional heteroskedasticity components in disturbances to address these issues empirically. Results reveal that housing prices in cities are significantly influenced by population, income, mortgage rates, policy factors, and the national macroeconomic situation. The analysis further indicates that the housing returns of regions in China that are in close geographic and economic proximities exhibit strong co-movement and volatility spillovers. Evidence of significantly positive leverage effects in regional housing markets is also determined. This study’s findings have significant implications for academic researchers, financial experts, and policy makers.https://journals.vgtu.lt/index.php/IJSPM/article/view/1800Housing marketsPrice co-movementVolatility spillover effectsSpatial econometricsLeverage effects |
| spellingShingle | Yingliang Weng Pu Gong On price co-movement and volatility spillover effects in China’s housing markets International Journal of Strategic Property Management Housing markets Price co-movement Volatility spillover effects Spatial econometrics Leverage effects |
| title | On price co-movement and volatility spillover effects in China’s housing markets |
| title_full | On price co-movement and volatility spillover effects in China’s housing markets |
| title_fullStr | On price co-movement and volatility spillover effects in China’s housing markets |
| title_full_unstemmed | On price co-movement and volatility spillover effects in China’s housing markets |
| title_short | On price co-movement and volatility spillover effects in China’s housing markets |
| title_sort | on price co movement and volatility spillover effects in china s housing markets |
| topic | Housing markets Price co-movement Volatility spillover effects Spatial econometrics Leverage effects |
| url | https://journals.vgtu.lt/index.php/IJSPM/article/view/1800 |
| work_keys_str_mv | AT yingliangweng onpricecomovementandvolatilityspillovereffectsinchinashousingmarkets AT pugong onpricecomovementandvolatilityspillovereffectsinchinashousingmarkets |