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    Housing market spillovers through the lens of transaction volume: A new spillover index approach

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    Authors
    Yang, Jian
    Tong, Meng
    Yu, Ziliang
    Publication Date
    2021-10-25
    
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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.
    Citation
    Journal of Empirical Finance, volume 64, page 351-378
    Publisher
    Elsevier
    URI
    http://hdl.handle.net/10034/626215
    Type
    article
    Description
    From Elsevier via Jisc Publications Router
    History: accepted 2021-10-04, epub 2021-10-25, issued 2021-12-31
    Article version: AM
    Publication status: Published
    Funder: National Natural Science Foundation of China; FundRef: http://dx.doi.org/10.13039/501100001809; Grant(s): 72001119, 71571106
    Funder: Fundamental Research Funds for the Central Universities; FundRef: http://dx.doi.org/10.13039/501100012226; Grant(s): 63212137
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    Social and Political Science

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