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Can volume be more informative than prices? Evidence from Chinese housing markets
Yang, Jian Tong, Meng Yu, Ziliang
Yang, Jian
Tong, Meng
Yu, Ziliang
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2023-05-17
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Abstract
This paper examines pairwise intercity price–volume dynamics in China using novel daily transaction price and volume dataset from 32 Chinese cities. Despite geographical disparity and time variations, the volume–volume dynamic relationship plays a noticeably more significant role than price–price or price–volume relationships, suggesting that volume may be more informative than prices in China’s pairwise intercity housing market spillovers. We further propose a new spillover/connectedness measure to summarize both price and volume information and better measure such spillovers. We find that the new measure can be significantly explained by economic fundamentals, which attests to the soundness of the basic finding.
Citation
Yang, J., Tong, M., & Yu, Z. (2023). Can volume be more informative than prices? Evidence from Chinese housing markets. Review of Quantitative Finance and Accounting, 61, 633–672. https://doi.org/10.1007/s11156-023-01161-4
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Springer
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Review of Quantitative Finance and Accounting
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Article
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This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s11156-023-01161-4
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ISSN
0924-865X
EISSN
1573-7179