Helen Xiaohui Bao, Helen Hui Huang, Yu-Lieh Huang and Pin-te Lin
– The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.
Abstract
Purpose
The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.
Design/methodology/approach
Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets.
Findings
Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas.
Originality/value
The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.
Details
Keywords
Shizhen Wang and David Hartzell
This paper aims to examine real estate price volatility in Hong Kong. Monthly data on housing, offices, retail and factories in Hong Kong were analyzed from February 1993 to…
Abstract
Purpose
This paper aims to examine real estate price volatility in Hong Kong. Monthly data on housing, offices, retail and factories in Hong Kong were analyzed from February 1993 to February 2019 to test whether volatility clusters are present in the real estate market. Real estate price determinants were also investigated.
Design/methodology/approach
Autoregressive conditional heteroscedasticity–Lagrange multiplier test is used to examine the volatility clustering effects in these four kinds of real estate. An autoregressive and moving average model–generalized auto regressive conditional heteroskedasticity (GARCH) model was used to identify real estate price volatility determinants in Hong Kong.
Findings
There was volatility clustering in all four kinds of real estate. Determinants of price volatility vary among different types of real estate. In general, housing volatility in Hong Kong is influenced primarily by the foreign exchange rate (both RMB and USD), whereas commercial real estate is largely influenced by unemployment. The results of the exponential GARCH model show that there were no asymmetric effects in the Hong Kong real estate market.
Research limitations/implications
This volatility pattern has important implications for investors and policymakers. Residential and commercial real estate have different volatility determinants; investors may benefit from this when building a portfolio. The analysis and results are limited by the lack of data on real estate price determinants.
Originality/value
To the best of the authors’ knowledge, this paper is the first study that evaluates volatility in the Hong Kong real estate market using the GARCH class model. Also, this paper is the first to investigate commercial real estate price determinants.