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A study on the information effect of property market

실물자산시장에서의 정보효과에 관한 연구

Ryu, HyunWook
류현욱

  • Received : 2015.09.25
  • Accepted : 2015.11.06
  • Published : 2015.11.30

Abstract

This study examines the dynamic relations between housing price and trading volume in a set of apartment markets in Republic of Korea to explore the informational role of trading volume in predicting the price volatility. Using monthly index data, EGARCH model is utilized to test for volume effect. To estimate the EGARCH-based volatility, two different sets of region are applied for the monthly return. Strong evidence has been found towards housing turnover leading price volatility, this supports previous studies on financial sector(s). These findings also support that trading volume in the housing market contains information on investor sentiment which, in turn, has a valuation effect on the price.

Keywords

EGARCH;housing market information effect;trading volume

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