- Volume 16 Issue 11
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.
EGARCH;housing market information effect;trading volume
- Blume, L., D. Easley and M. O'Hara, Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance 49(1), pp.153-181, 1994. DOI: http://dx.doi.org/10.1111/j.1540-6261.1994.tb04424.x https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
- Chordia, T., and B. Swaminathan, Trading Volume and Cross-Autocorrelations in Stock Returns, Journal of Finance 55(2), pp.913-935, 2000. DOI: http://dx.doi.org/10.1111/0022-1082.00231 https://doi.org/10.1111/0022-1082.00231
- Chordia, T., A. Subrahmanyan, and R. Anshuman, Trading activity and expected stock returns, Journal of Financial Economics 59, pp.3-32, 2001. DOI: http://dx.doi.org/10.1016/S0304-405X(00)00080-5 https://doi.org/10.1016/S0304-405X(00)00080-5
- Clark, P. K., A Subbordinate Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica 41, pp.135-155, 1973. DOI: http://dx.doi.org/10.2307/1913889 https://doi.org/10.2307/1913889
- Copeland, T. E., A model of Asset Trading Under the Assumption of Sequential Information Arrival, Journal of Finance 31, pp.1149-1168, 1976. DOI: http://dx.doi.org/10.2307/2326280
- Easley, D., S. Hvidkjaer and M. O'Hara, Is information risk a determinant of asset return? Journal of Finance 57, pp.2185-2221, 2002. DOI: http://dx.doi.org/10.1111/1540-6261.00493 https://doi.org/10.1111/1540-6261.00493
- Easley, D. and M. O'Hara, Information and cost of capital, Journal of Finance 59, pp.1553-1585, 2004. DOI: http://dx.doi.org/10.1111/j.1540-6261.2004.00672.x https://doi.org/10.1111/j.1540-6261.2004.00672.x
- Epps, T. and Epps, M., The Stochastic Dependence of Security Price Changes and Transaction Volume: Implication for the Mixture of Distribution Hypothesis, Econometrica 44, pp.305-321, 1976. DOI: http://dx.doi.org/10.2307/1912726 https://doi.org/10.2307/1912726
- Foster, A. J., Volume-volatility Relationship for Crude Oil Futures Markets, The Journal of Futures Markets 15(8), pp. 929-951, 1995. DOI: http://dx.doi.org/10.1002/fut.3990150805 https://doi.org/10.1002/fut.3990150805
- Jennings, R. H., Starks, L.T., and Fellingham, J.C., "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance 36, pp.143-161, 1981. DOI: http://dx.doi.org/10.1111/j.1540-6261.1981.tb03540.x https://doi.org/10.1111/j.1540-6261.1981.tb03540.x
- J. M. Lim, Do housing trading volume explain prices or the converse?, Korea Spatial Planning Review, Vol.69, pp.3-18, 2011 DOI: http://dx.doi.org/10.15793/kspr.2011.69..001 https://doi.org/10.15793/kspr.2011.69..001
- H. W. Ryu, S. S. Koh, An empirical study on the relationship between price change and trading volume", Journal of Korea Real Estate Analysis Association, Vol.18(3), 2012.