Abstract
This paper investigates the dynamic conditional correlations (DCCs) between housing returns and retail property returns, and the existence of volatility spillover between the two property markets of Hong Kong. Two multivariate stochastic volatility models (MSV), namely Granger causality MSV and DCC-MSV model, are used to capture the time-varying correlations and the volatility spillover effect, respectively. The findings show that the correlations between housing returns and retail property returns follow a dynamic process, and such dynamic correlation could serve as a leading indicator for future property price movements. Besides, the findings also suggest that Hong Kong's retail property market is generally more volatile than its residential market. Additionally, we find a unilateral volatility spillover from residential property to retail property in the Hong Kong market. © 2012 Copyright Taylor and Francis Group, LLC.
| Original language | English |
|---|---|
| Pages (from-to) | 85-102 |
| Journal | Journal of Property Research |
| Volume | 29 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Jun 2012 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- dynamic relationship
- housing and retail property returns
- MCMC
- MSV
- volatility spillover