Financial Crisis and the Co-movements of Housing Sub-markets : Do relationships change after a crisis?
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 68-118 |
| Journal / Publication | International Real Estate Review |
| Volume | 16 |
| Issue number | 1 |
| Publication status | Published - 1 Mar 2013 |
Link(s)
Abstract
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
Bibliographic Note
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Citation Format(s)
Financial Crisis and the Co-movements of Housing Sub-markets : Do relationships change after a crisis? / Leung, Charles Ka Yui; Cheung, Patrick Wai Yin; Tang, Edward Chi Ho.
In: International Real Estate Review, Vol. 16, No. 1, 01.03.2013, p. 68-118.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
