Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11861/4575
Title: Financial crisis and the co-movements of housing sub-markets: Do relationships change after a crisis?
Authors: Dr. TANG Chi Ho, Edward 
Leung, Charles Ka Yui 
Cheung, Wai Yin Patrick 
Issue Date: 2013
Source: International Real Estate Review, 2013, vol. 16(1), pp. 68-118.
Journal: International Real Estate Review 
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.
Type: Peer Reviewed Journal Article
URI: http://hdl.handle.net/20.500.11861/4575
ISSN: 2154-8919
Appears in Collections:Economics and Finance - Publication

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