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Linear and nonlinear dynamic relationships between housing prices and trading volumes

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  • Tsai, I-Chun
  • Peng, Chien-Wen

Abstract

This study applied linear and nonlinear causality tests and estimation models to investigate the efficiency of housing prices and volumes in the United States and its four major regions. The results of this study confirm that housing volumes can function as a price-discovery indicator. According to the nonlinear volatility of housing prices, this study verified numerous hypotheses. Housing returns can also influence housing volume. The results of this study imply that housing price efficiency can vary based on market conditions. Consequently, estimating the behavior of housing prices through a linear model can result in underestimating the information reflected by housing returns.

Suggested Citation

  • Tsai, I-Chun & Peng, Chien-Wen, 2016. "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 172-184.
    • Handle: RePEc:eee:ecofin:v:38:y:2016:i:c:p:172-184
    DOI: 10.1016/j.najef.2016.10.014
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    Cited by:

    1. Tsai, I-Chun, 2019. "Dynamic price–volume causality in the American housing market: A signal of market conditions," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 385-400.

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    More about this item

    Keywords

    Housing market; Price and volume relationship; Price discovery; Price efficiency; Nonlinear causal relationship;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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