Information linkages among National, NSW, VIC, and QLD real estate markets in Australia

JingJing (Justine) Wang and John S. Croucher

Accounting and Finance, 2021, vol. 61, issue 2, 3207-3234

Abstract: We examine information and volatility linkages among NATIONAL, NSW, VIC and QLD housing markets in Australia using the novel rational expectations framework of financial contagion and a combination of robust econometric methods including the Generalised Method of Moments (GMM), correlations and Generalised Impulse Response Method, etc. We find information linkages across markets are revealed in the correlations of their volatilities and correlations of the house price returns. Moreover, we find these volatilities reflect house price patterns of the most important four real estate economic cycles over the last two decades.

Date: 2021
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https://doi.org/10.1111/acfi.12698

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