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Volatility Clustering, Risk-Return Relationship and Asymmetric Adjustment in Canadian Housing Markets

Lin, Pin-Te; Fuerst, Franz

Description

In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of...[Show more]

dc.contributor.authorLin, Pin-Te
dc.contributor.authorFuerst, Franz
dc.date.accessioned2015-12-07T22:32:52Z
dc.identifier.issn0095-4918
dc.identifier.urihttp://hdl.handle.net/1885/23003
dc.description.abstractIn this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of Canada. These volatility behaviors, which reflect regional idiosyncrasies, are further found to differ across provinces. More densely populated provinces exhibit stronger volatility clustering of house prices. The existence of these volatility patterns similar to stock indices has important implications ranging from proper portfolio management to government policy.
dc.publisherInstitutional Investor Inc
dc.sourceJournal of Portfolio Management
dc.titleVolatility Clustering, Risk-Return Relationship and Asymmetric Adjustment in Canadian Housing Markets
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolumeArticle forthcoming
dc.date.issued2014
local.identifier.absfor140207 - Financial Economics
local.identifier.ariespublicationu5260803xPUB24
local.type.statusPublished Version
local.contributor.affiliationLin, Pin-Te, College of Business and Economics, ANU
local.contributor.affiliationFuerst, Franz, University of Cambridge
local.description.embargo2037-12-31
local.identifier.absseo910199 - Macroeconomics not elsewhere classified
dc.date.updated2015-12-07T10:25:04Z
local.identifier.scopusID2-s2.0-84906816883
CollectionsANU Research Publications

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