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Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?

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Author Info

  • Charles Ka Yui Leung

    ()
    (Associate Professor, Department of Economics and Finance, City University of Hong Kong; Address: 83 Tat Chee Avenue, Kowloon Tong, Hong Kong; Phone: (852) 3442-9604; Fax: (852) 3442-0284)

  • Patrick Wai Yin Cheung

    ()
    (Research Associate, Department of Economics and Finance, City University of Hong Kong; Address: 83 Tat Chee Avenue, Kowloon Tong, Hong Kong)

  • Edward Chi Ho Tang

    ()
    (PhD Candidate, Department of Economics and Finance, City University of Hong Kong; Address: 83 Tat Chee Avenue, Kowloon Tong, Hong Kong)

Abstract

This study of the co-movements of transaction prices and trading volumes reveals that the mean correlation of prices and trading volumes alike, among different housing sub-markets, increase during the market boom. After a financial crisis, the correlations dramatically drop and stay low. The distribution of the correlations changes from skewed to symmetric. All these coincide with the increase in the total variance of prices, as well as the share of the idiosyncratic component in the total variance after the crisis. These findings are consistent with a family of theories that emphasize on the ¡§regime switch¡¨ in expectations.

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Bibliographic Info

Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 16 (2013)
Issue (Month): 1 ()
Pages: 68-118

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Handle: RePEc:ire:issued:v:16:n:01:2013:p:68-118

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Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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Web page: http://www.asres.org/

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Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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Web: http://www.asres.org/

Related research

Keywords: Financial Crisis; Hedonic Pricing; Structural Break; Evolution of Valuation; Rolling Regression;

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References

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Citations

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Cited by:
  1. Eric Wong & Andrew Tsang & Steven Kong, 2014. "How Does Loan-To-Value Policy Strengthen Banks' Resilience to Property Price Shocks - Evidence from Hong Kong," Working Papers 032014, Hong Kong Institute for Monetary Research.
  2. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2012. "In the shadow of the United States: the international transmission effect of asset returns," Globalization and Monetary Policy Institute Working Paper 121, Federal Reserve Bank of Dallas.
  3. repec:ire:issued:v:17:n:01:2014:p:63-107 is not listed on IDEAS
  4. Leung, Charles Ka Yui & Tang, Edward Chi Ho, 2013. "Speculating China economic growth through Hong Kong? Evidence from the stock market IPO and real estate markets," MPRA Paper 46346, University Library of Munich, Germany.
  5. Leung, Charles Ka Yui & Ma, Wai Yip & Zhang, Jun, 2013. "The Market Valuation of Interior Design and Developers strategies: a simple Theory and some Evidence," MPRA Paper 43896, University Library of Munich, Germany.
  6. Leung, Charles Ka Yui & Leung, Tommy Tin Cheuk & Tsang, Byron Kwok Ping, 2014. "Tax-driven Bunching of Housing Market Transactions: The case of Hong Kong," MPRA Paper 53729, University Library of Munich, Germany.

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