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The Interaction between the Sub-Market Turnover Ratios and Prices in Taiwan

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  • Mei-Ling Chou

Abstract

This study used the 2000Q1 to 2010Q3 panel data of Taipei City, New Taipei City, and the Tao-Chu area in Taiwan to examine the stationary of the turnover ratio and the lead-lag relation of the turnover ratio and housing price. The fixed effect models showed that the turnover ratio can explain the 12.81 % of the next period price variance, and the model with lower AIC and SBC value than price-volume model. This signifies that the turnover ratio and price model are superior fits for the panel data. The results of the Fisher cointegration test showed that more than one cointegration relation exists in the proposed models. The results of the Granger causality test showed that a strong interaction exists between Taipei City and New Taipei City, which the (t-1) period turnover ratio led the t period price variance. But only the price variance in New Taipei City increased in conjunction with the price variance in the Tao-Chu area.

Suggested Citation

  • Mei-Ling Chou, 2013. "The Interaction between the Sub-Market Turnover Ratios and Prices in Taiwan," ERES eres2013_286, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2013_286
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    References listed on IDEAS

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    1. Jeremy C. Stein, 1995. "Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(2), pages 379-406.
    2. Yuval Arbel & Danny Ben-Shahar & Eyal Sulganik, 2009. "Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 316-335, October.
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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