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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/71494

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71494

Title:	Asymmetric Volatility of House Prices in the UK
Authors:	陳明吉 I-Chun Tsai;Ming-Chi Chen
Contributors:	財管系
Keywords:	Real estate;Prices;Cyclical demand;Residential property;United Kingdom
Date:	2009
Issue Date:	2014-11-14 18:23:32 (UTC+8)
Abstract:	Purpose– The purpose of this paper is to show an indication that the asymmetric volatility between house price movement may account for the defensiveness of the housing market.Design/methodology/approach– First the UK nation‐wide house price data from the last quarter (Q4) of 1955 to the last quarter of 2005 are used and then the most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. Second, a variable that examines the leverage effect of volatility is incorporated into the model. The GJR‐GARCH model is used.Findings– The results of the empirical test show that while the lagged innovations are negatively correlated with housing return, that is when there is bad news, the current volatility of housing return might decline.Research limitations/implications– The results indicate that the volatilities between house prices moving up and moving down are asymmetric.Practical implications– The results show that there is a defensive effect in the UK housing market during the data periods used.Originality/value– Although several articles have documented that there is heteroscedasticity and autocorrelation in the volatilities of real estate prices, few of those papers have noted one of the most important advantages of the housing market, its defensiveness, from the viewpoint of volatile behavior.
Relation:	Property Management, 27(2), 80-90
Data Type:	article
Appears in Collections:	[統計學系] 期刊論文

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