Volatility Clustering, Risk-Return Relationship and Asymmetric Adjustment in Canadian Housing Markets
Date
2014
Authors
Lin, Pin-Te
Fuerst, Franz
Journal Title
Journal ISSN
Volume Title
Publisher
Institutional Investor Inc
Abstract
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 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.
Description
Keywords
Citation
Collections
Source
Journal of Portfolio Management
Type
Journal article
Book Title
Entity type
Access Statement
License Rights
DOI
Restricted until
2037-12-31
Downloads
File
Description