Testing Alternative Theories of the Property Price-Trading Volume Correlation

Charles Ka Yui Leung (), Garion C. K. Lau () and Youngman C. F. Leong ()
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Garion C. K. Lau: Chinese University of Hong Kong, Shatin, Hong Kong
Youngman C. F. Leong: Chinese University of Hong Kong, Shatin, Hong Kong

Journal of Real Estate Research, 2002, vol. 23, issue 3, pages 253-264

Abstract: This article examines the correlation between the real housing price and trading volume. Contrary to the predictions of standard rational expectation models, a robust positive correlation between the two variables is identified. While no clear lead-lag relationship is found in the raw data, which is more consistent with the downpayment effect model, the medium-run component of the trading volume tends to lead (and Granger cause) the corresponding component of the property price, which is more consistent with the search theoretic model. An explanation for this difference in behavior is suggested and several future research directions are provided.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2002
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