IDEAS home Printed from https://ideas.repec.org/a/vrs/remava/v31y2023i4p36-44n6.html
   My bibliography  Save this article

Integration and Cointegration of Apartment Prices on the Primary and Secondary Market in Szczecin in the Years 2006-2022

Author

Listed:
  • Doszyń Mariusz

    (1 University of Szczecin, Institute of Economics and Finance, Department of Econometrics and Statistics, Aleja Papieża Jana Pawła II 22A, 70-453 Szczecin, Poland)

Abstract

The objective of the paper is to verify hypotheses regarding integration and cointegration (relation) of mean apartment prices on the primary and secondary market in Szczecin. Both transaction prices as well as offer prices of apartments were investigated. The analysis period encompasses the years of 2006 – 2022 (quarterly data). An ADF test was employed to examine the integration of time series, taking into consideration a deterministic component in the form of a quadratic function. Only the time series of mean offer prices and transaction prices on the primary market proved to be integrated in the first degree. The time series of mean offer prices and transaction prices on the secondary market were not integrated, they occurred to be trend stationary series. A two-step Engle-Granger test was employed to analyze the cointegration of time series, which confirmed the cointegration of mean offer prices and transaction prices on the primary market. The relations between individual price types were examined with the use of a procedure which entailed analyzing (with an ADF test) difference stationarity between prices. From the empirical studies it arises that, in Szczecin, transaction and offer prices on the primary market follow one another. On the secondary market, offer and transaction prices are trend stationary and they converge. On the other hand, prices on the primary market diverge from prices on the secondary market (the primary market diverges from the secondary market). This concerns both offer prices as well as transaction prices.

Suggested Citation

  • Doszyń Mariusz, 2023. "Integration and Cointegration of Apartment Prices on the Primary and Secondary Market in Szczecin in the Years 2006-2022," Real Estate Management and Valuation, Sciendo, vol. 31(4), pages 36-44, December.
    • Handle: RePEc:vrs:remava:v:31:y:2023:i:4:p:36-44:n:6
    DOI: 10.2478/remav-2023-0028
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/remav-2023-0028
    Download Restriction: no
    File URL: https://libkey.io/10.2478/remav-2023-0028?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Matysiak, George & Olszewski, Krzysztof, 2019. "A Panel Analysis of Polish Regional Cities Residential Price Convergence in the Primary Market," MPRA Paper 94660, University Library of Munich, Germany.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Robert Leszczynski & Krzysztof Olszewski, 2017. "An analysis of the primary and secondary housing market in Poland: evidence from the 17 largest cities," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 17(2), pages 136-151.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mateusz Tomal, 2022. "Testing for overall and cluster convergence of housing rents using robust methodology: evidence from Polish provincial capitals," Empirical Economics, Springer, vol. 62(4), pages 2023-2055, April.
    2. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Bilal Mehmood & Syed Hassan Raza & Mahwish Rana & Huma Sohaib & Muhammad Azhar Khan, 2014. "Triangular Relationship between Energy Consumption, Price Index and National Income in Asian Countries: A Pooled Mean Group Approach in Presence of Structural Breaks," International Journal of Energy Economics and Policy, Econjournals, vol. 4(4), pages 610-620.
    4. Tyrväinen, Timo, 1991. "Unions, wages and employment: evidence from Finland," Bank of Finland Research Discussion Papers 16/1991, Bank of Finland.
    5. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    6. Santos, João & Domingos, Tiago & Sousa, Tânia & St. Aubyn, Miguel, 2016. "Does a small cost share reflect a negligible role for energy in economic production? Testing for aggregate production functions including capital, labor, and useful exergy through a cointegration-base," MPRA Paper 70850, University Library of Munich, Germany.
    7. Law, Siong Hook & Tan, Hui & baharumshah, ahmad, 1999. "Financial Liberalization in ASEAN and the Fisher Hypothesis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 33, pages 65-86.
    8. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Shahbaz, Muhammad & Hoang, Thi Hong Van & Mahalik, Mantu Kumar & Roubaud, David, 2017. "Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis," Energy Economics, Elsevier, vol. 63(C), pages 199-212.
    10. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
    11. Georgios Bertsatos & Plutarchos Sakellaris & Mike G. Tsionas, 2022. "Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure," Empirical Economics, Springer, vol. 62(2), pages 605-634, February.
    12. Ranjan Aneja & Umer J. Banday & Tanzeem Hasnat & Mustafa Koçoglu, 2017. "Renewable and Non-renewable Energy Consumption and Economic Growth: Empirical Evidence from Panel Error Correction Model," Jindal Journal of Business Research, , vol. 6(1), pages 76-85, June.
    13. Vassilis Monastiriotis & Cigdem Borke Tunali, 2020. "The Sustainability of External Imbalances in the European Periphery," Open Economies Review, Springer, vol. 31(2), pages 273-294, April.
    14. David Owyong & Shandre Thangavelu, 2001. "An empirical study on public capital spillovers from the USA to Canada," Applied Economics, Taylor & Francis Journals, vol. 33(11), pages 1493-1499.
    15. Yih-Ing Hser & Haikang Shen & Chih-Ping Chou & Stephen C. Messer & M. Douglas Anglin, 2001. "Analytic Approaches for Assessing Long-Term Treatment Effects," Evaluation Review, , vol. 25(2), pages 233-262, April.
    16. Zamani, Mehrzad, 2007. "Energy consumption and economic activities in Iran," Energy Economics, Elsevier, vol. 29(6), pages 1135-1140, November.
    17. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
    18. Muhammad Zia Ullah Khan & Muhammad Illyas & Muqqadas Rahman & Chaudhary Abdul Rahman, 2015. "Money Monetization and Economic Growth in Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(4), pages 184-192, April.
    19. Muhammad Shafiullah & Ravinthirakumaran Navaratnam, 2016. "Do Bangladesh and Sri Lanka Enjoy Export-Led Growth? A Comparison of Two Small South Asian Economies," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 17(1), pages 114-132, March.
    20. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.

    More about this item

    Keywords

    integration; cointegration; apartment prices; primary market secondary market; ADF test; Engle – Granger test;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:remava:v:31:y:2023:i:4:p:36-44:n:6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.