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Housing market spillovers through the lens of transaction volume: A new spillover index approach
Yang, Jian Tong, Meng Yu, Ziliang
Yang, Jian
Tong, Meng
Yu, Ziliang
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2021-10-13
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Abstract
This paper examines intercity housing market spillovers (HMS) in China using a novel dataset of daily transaction prices and volume from 32 Chinese cities. Based on intercity price-price, price-volume, and volume-volume dynamics, we propose a new spillover index to summarize price and volume information comprehensively in measuring cross-market spillovers. We find that: (1) the volume-volume dynamics plays a more significant role than price-price or price-volume relationships in intercity HMS; (2) fundamentals related to population and GDPs are among significant determinants of the index. Overall, these findings provide new evidence for a significant informational role of volume beyond prices in HMS.
Citation
Yang, J., Tong, M., & Yu, Z. (2021). Housing market spillovers through the lens of transaction volume: A new spillover index approach. Journal of Empirical Finance, 64, 351-378. 10.1016/j.jempfin.2021.10.003
Publisher
Elsevier
Journal
Journal of Empirical Finance
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DOI
10.1016/j.jempfin.2021.10.003
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Article
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ISSN
0927-5398
EISSN
1879-1727