The effect of negative information on the volatility of real estate residential prices in Abuja, Nigeria

Musa Alkali, Ibrahim Sipan and Muhammad Najib Razali

International Journal of Housing Markets and Analysis, 2019, vol. 13, issue 2, 267-280

Abstract: Purpose - The purpose of this paper is to determine the effect of negative information on the volatility of real estate residential prices in Abuja, Nigeria. Design/methodology/approach - The empirical research covers a sample period of 17 years from the first quarter of 2000 to the fourth quarter of 2017. The leverage effect of Abuja’s real estate residential price volatility is determined. Exponential generalised autoregressive conditional heteroscedasticity is used to determine the ARCH shock, GARCH persistence and the leverage effect of the volatility of residential prices in Abuja. Findings - The research found that the volatility of real estate prices varies from one category of residential property to another. The leverage effect was found only in the price of two and three bedroom flats in Abuja. Originality/value - The findings provide useful information on the volatility of real estate prices for real estate investors. The study has policy implications for the regulation of measures that gradually checkmate the patterns of volatility in the Nigerian real estate market. It also controls negative information (such as a fall of crude oil prices, high costs of building materials, inconsistency of macro-economic policies and insecurity and political uncertainty) which mainly raises the level of uncertainty in the market and exposes investors to risk.

Keywords: Nigeria; Volatility; Housing prices; Residential property; Real estate; Effect (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijhmap:ijhma-03-2019-0036

DOI: 10.1108/IJHMA-03-2019-0036

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