Search
  Advanced Search
 
Journal search
Journal cover: Property Management

Property Management

ISSN: 0263-7472

Online from: 1983

Subject Area: Built Environment

Content: Latest Issue | icon: RSS Latest Issue RSS | Previous Issues

Options: To add Favourites and Table of Contents Alerts please take a Emerald profile

Icon: .Table of Contents.Next article.Icon: .

The asymmetric volatility of house prices in the UK


Document Information:
Title:The asymmetric volatility of house prices in the UK
Author(s):I-Chun Tsai, (National University of Kaohsiung, Kaohsiung, Taiwan), Ming-Chi Chen, (National Sun Yat-sen University, Kaohsiung, Taiwan)
Citation:I-Chun Tsai, Ming-Chi Chen, (2009) "The asymmetric volatility of house prices in the UK", Property Management, Vol. 27 Iss: 2, pp.80 - 90
Keywords:Cyclical demand, Prices, Real estate, Residential property, United Kingdom
Article type:Research paper
DOI:10.1108/02637470910946390 (Permanent URL)
Publisher:Emerald Group Publishing Limited
Abstract:

Purpose – The purpose of this paper is to show an indication that the asymmetric volatility between house price movement may account for the defensiveness of the housing market.

Design/methodology/approach – First the UK nation-wide house price data from the last quarter (Q4) of 1955 to the last quarter of 2005 are used and then the most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. Second, a variable that examines the leverage effect of volatility is incorporated into the model. The GJR-GARCH model is used.

Findings – The results of the empirical test show that while the lagged innovations are negatively correlated with housing return, that is when there is bad news, the current volatility of housing return might decline.

Research limitations/implications – The results indicate that the volatilities between house prices moving up and moving down are asymmetric.

Practical implications – The results show that there is a defensive effect in the UK housing market during the data periods used.

Originality/value – Although several articles have documented that there is heteroscedasticity and autocorrelation in the volatilities of real estate prices, few of those papers have noted one of the most important advantages of the housing market, its defensiveness, from the viewpoint of volatile behavior.



Fulltext Options:

Login

Login

Existing customers: login
to access this document

Login


- Forgot password?
- Athens/Institutional login

Purchase

Purchase

Downloadable; Printable; Owned
HTML, PDF (181kb)Purchase

To purchase this item please login or register.

Login


- Forgot password?

Recommend to your librarian

Complete and print this form to request this document from your librarian


Marked list


Bookmark & share

Reprints & permissions