Yang, Jian;
Tong, Meng;
Yu, Ziliang;
(2021)
Housing market spillovers through the lens of transaction volume: A new spillover index approach.
Journal of Empirical Finance
, 64
pp. 351-378.
10.1016/j.jempfin.2021.10.003.
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Abstract
Proposing and applying a new spillover index approach based on data-determined structural vector autoregression to measure connectedness, we examine the daily housing market information transmission via transaction volume among Chinese city-level housing markets from 2009 to 2018. We document substantial information transmission on Chinese housing markets even within one day and find that the role a city-level housing market may play in the information transmission network resembles a pattern observed on other financial markets, which can be generally classified into three distinctive groups: prime senders, exchange centers, and prime receivers. City hierarchy and some fundamental economic factors, such as GDP per capita and average wage, appear to be significant determinants of such a pattern. The findings extend the existing voluminous literature solely based on housing prices or price volatility spillovers and shed new light on the China's government intervention strategy on the housing market.
| Type: | Article |
|---|---|
| Title: | Housing market spillovers through the lens of transaction volume: A new spillover index approach |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jempfin.2021.10.003 |
| Publisher version: | https://doi.org/10.1016/j.jempfin.2021.10.003 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Transaction volume; Spillover index; Information transmission; DAG; Datadetermined VAR |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics UCL > Provost and Vice Provost Offices > UCL SLASH UCL |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10143341 |
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