Housing market spillovers through the lens of transaction volume: A new spillover index approach
AffiliationUniversity of Colorado Denver; Nankai University; University College London; University of Chester
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AbstractThis 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.
CitationYang, 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
JournalJournal of Empirical Finance
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