Linear and nonlinear dynamic relationships between housing prices and trading volumes

I-Chun Tsai and Chien-Wen Peng

The North American Journal of Economics and Finance, 2016, vol. 38, issue C, 172-184

Abstract: This study applied linear and nonlinear causality tests and estimation models to investigate the efficiency of housing prices and volumes in the United States and its four major regions. The results of this study confirm that housing volumes can function as a price-discovery indicator. According to the nonlinear volatility of housing prices, this study verified numerous hypotheses. Housing returns can also influence housing volume. The results of this study imply that housing price efficiency can vary based on market conditions. Consequently, estimating the behavior of housing prices through a linear model can result in underestimating the information reflected by housing returns.

Keywords: Housing market; Price and volume relationship; Price discovery; Price efficiency; Nonlinear causal relationship (search for similar items in EconPapers)
JEL-codes: G12 R31 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:38:y:2016:i:c:p:172-184

DOI: 10.1016/j.najef.2016.10.014

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