Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?

Charles Leung, W. Y. Patrick Cheung and Edward Chi Ho Tang

MPRA Paper from University Library of Munich, Germany

Abstract: This study of the co-movements of the transaction prices and trading volumes reveal that the mean correlation of prices, and trading volumes alike, among different housing sub-markets increases during the market boom. After a financial crisis, the correlations drop dramatically and stay low. The distribution of the correlations changes from skewed to symmetric. All these coincide with the increase in the total variance of prices, as well as the share of the idiosyncratic component in the total variance after the crisis. These findings are consistent to a family of theories which emphasize on “regime switch” in expectation.

Keywords: financial crisis; hedonic pricing; structural break; evolution of valuation; rolling regression (search for similar items in EconPapers)
JEL-codes: E50 G10 G12 R20 R30 (search for similar items in EconPapers)
Date: 2011-06
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Related works:
Journal Article: Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31627

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