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

Abstract

This 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.