Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?

Charles Leung, Patrick Wai Yin Cheung () and Edward Chi Ho Tang ()
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Patrick Wai Yin Cheung: Research Associate, Department of Economics and Finance, City University of Hong Kong; Address: 83 Tat Chee Avenue, Kowloon Tong, Hong Kong
Edward Chi Ho Tang: PhD Candidate, Department of Economics and Finance, City University of Hong Kong; Address: 83 Tat Chee Avenue, Kowloon Tong, Hong Kong

International Real Estate Review, 2013, vol. 16, issue 1, 68-118

Abstract: This study of the co-movements of transaction prices and trading volumes reveals that the mean correlation of prices and trading volumes alike, among different housing sub-markets, increase during the market boom. After a financial crisis, the correlations dramatically drop and stay low. The distribution of the correlations changes from skewed to symmetric. All these coincide with the increase in the total variance of prices, as well as the share of the idiosyncratic component in the total variance after the crisis. These findings are consistent with a family of theories that emphasize on the "regime switch" in expectations.

Keywords: Financial Crisis; Hedonic Pricing; Structural Break; Evolution of Valuation; Rolling Regression (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis? (2011)
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