Is the Korean housing market following Gangnam style?

Khamis Hamed Al-Yahyaee (), Walid Mensi (), Hee-Un Ko (), Massimiliano Caporin and Sang Hoon Kang ()
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Khamis Hamed Al-Yahyaee: Sultan Qaboos University
Walid Mensi: Sultan Qaboos University
Hee-Un Ko: Seoul Credit Guarantee Foundation
Sang Hoon Kang: Pusan National University

Empirical Economics, 2021, vol. 61, issue 4, No 12, 2072 pages

Abstract: Abstract Gangnam is a prime district in Korea known for its expensive real estate market due to convenient transportation, shopping and business centers, and elite schools and academies in the area. This paper examines spillovers and network connectedness in the Korean regional markets using the spillover index of Diebold and Yilmaz (J Econom 182:119–134, 2014). We use the quantile regression approach to investigate the macroeconomic factors driving the total spillover effects under low, normal, and high spillovers. We find that the 1997–1998 Asian currency crisis intensified regional spillovers in the Korean housing market. Moreover, Gangnam is the largest transmitter of spillovers across the regional housing markets in Korea. Our visual network illustrates that Gangnam is a hub of connectedness, implying that it is the most influential shock transmitter among the regional housing markets. Our study has an implication for investors: macroeconomic factors affect spillovers across regional housing sales and rental markets under different degrees of spillover.

Keywords: Korean regional housing market; Dynamic spillover; Network connectedness; Quantile regression approach; Spillover index (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 G15 Q3 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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DOI: 10.1007/s00181-020-01931-2

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