Spatial Market Inefficiency in Housing Market: A Spatial Quantile Regression Approach

Jiyoung Chae () and Anil K. Bera ()
Additional contact information
Jiyoung Chae: Federal Reserve Bank of Richmond
Anil K. Bera: University of Illinois at Urbana-Champaign

The Journal of Real Estate Finance and Economics, 2024, vol. 69, issue 1, No 3, 70-99

Abstract: Abstract This paper empirically tests housing market efficiency in the spatial dimension by using the spatial autoregressive conditional heteroskedastic (ARCH) and spatial quantile regression models. The tests were conducted in terms of both housing returns and squared returns (volatility). The sale price data used is from Cook County residential MLS for the years 2010–2016. The main findings are that housing returns are not spatially correlated but squared returns are spatially correlated, and the spatial dependence of squared returns seems to be stronger for higher squared return quantiles.

Keywords: Housing market; Market efficiency; Spatial dependence; Spatial volatility clustering; Spatial quantile regression (search for similar items in EconPapers)
JEL-codes: C21 G14 R23 R31 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11146-022-09923-y Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09923-y

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

DOI: 10.1007/s11146-022-09923-y

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().