Housing market spillovers through the lens of transaction volume: A new spillover index approach

Jian Yang (), Meng Tong and Ziliang Yu

Journal of Empirical Finance, 2021, vol. 64, issue C, 351-378

Abstract: Proposing and applying a new spillover index approach based on data-determined structural vector autoregression to measure connectedness, we examine the daily housing market information transmission via transaction volume among Chinese city-level housing markets from 2009 to 2018. We document substantial information transmission on Chinese housing markets even within one day and find that the role a city-level housing market may play in the information transmission network resembles a pattern observed on other financial markets, which can be generally classified into three distinctive groups: prime senders, exchange centers, and prime receivers. City hierarchy and some fundamental economic factors, such as GDP per capita and average wage, appear to be significant determinants of such a pattern. The findings extend the existing voluminous literature solely based on housing prices or price volatility spillovers and shed new light on the China’s government intervention strategy on the housing market.

Keywords: Transaction volume; Spillover index; Information transmission; DAG; Data-determined VAR (search for similar items in EconPapers)
JEL-codes: G12 G15 R31 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:64:y:2021:i:c:p:351-378

DOI: 10.1016/j.jempfin.2021.10.003

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