Integration and Cointegration of Apartment Prices on the Primary and Secondary Market in Szczecin in the Years 2006-2022

Doszyń Mariusz ()
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Doszyń Mariusz: University of Szczecin, Institute of Economics and Finance, Department of Econometrics and Statistics, Aleja Papieża Jana Pawła II 22A, 70-453 Szczecin, Poland

Real Estate Management and Valuation, 2023, vol. 31, issue 4, 36-44

Abstract: The objective of the paper is to verify hypotheses regarding integration and cointegration (relation) of mean apartment prices on the primary and secondary market in Szczecin. Both transaction prices as well as offer prices of apartments were investigated. The analysis period encompasses the years of 2006 – 2022 (quarterly data). An ADF test was employed to examine the integration of time series, taking into consideration a deterministic component in the form of a quadratic function. Only the time series of mean offer prices and transaction prices on the primary market proved to be integrated in the first degree. The time series of mean offer prices and transaction prices on the secondary market were not integrated, they occurred to be trend stationary series. A two-step Engle-Granger test was employed to analyze the cointegration of time series, which confirmed the cointegration of mean offer prices and transaction prices on the primary market. The relations between individual price types were examined with the use of a procedure which entailed analyzing (with an ADF test) difference stationarity between prices. From the empirical studies it arises that, in Szczecin, transaction and offer prices on the primary market follow one another. On the secondary market, offer and transaction prices are trend stationary and they converge. On the other hand, prices on the primary market diverge from prices on the secondary market (the primary market diverges from the secondary market). This concerns both offer prices as well as transaction prices.

Keywords: integration; cointegration; apartment prices; primary market secondary market; ADF test; Engle – Granger test (search for similar items in EconPapers)
JEL-codes: C01 C12 C22 R31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:remava:v:31:y:2023:i:4:p:36-44:n:6

DOI: 10.2478/remav-2023-0028

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