Relationship between volatility and spatial autocorrelation in real estate prices

Daniel Yet Fhang Lo

ERES from European Real Estate Society (ERES)

Abstract: It has been widely acknowledged that real estate prices are spatially autocorrelated and correcting for spatial autocorrelation has become a standard practice in hedonic pricing models to improve estimation efficiency. However, its causes have not yet been fully explored. This paper puts forward by hypothesizing that spatial autocorrelations in housing prices are determined by market volatility: low market volatility weakens spatial autocorrelations and vice versa. The hypothesis is tested using data for over 150 000 transactions of homes sold between 1997 and 2009 in Hong Kong. The empirical results confirm the volatility explanation for the spatial autocorrelations. The finding contributes to a better understanding of the causes of spatial autocorrelation.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2011-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2011-169 (text/html)

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:arz:wpaper:eres2011_169

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().