Financial Crisis and the Co-movements of Housing Sub-markets : Do relationships change after a crisis?

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)68-118
Journal / PublicationInternational Real Estate Review
Issue number1
Publication statusPublished - 1 Mar 2013


This study of the co-movements of transaction prices and trading volumes reveals that the mean correlation of prices and trading volumes alike, among different housing sub-markets, increase during the market boom. After a financial crisis, the correlations dramatically drop and stay low. The distribution of the correlations changes from skewed to symmetric. All these coincide with the increase in the total variance of prices, as well as the share of the idiosyncratic component in the total variance after the crisis. These findings are consistent with a family of theories that emphasize on the “regime switch” in expectations.

Research Area(s)

  • Evolution of Valuation, Financial Crisis, Hedonic Pricing, Rolling Regression, Structural Break

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