Abstract
This paper investigates the dynamic conditional correlations (DCCs) between housing returns and retail property returns, and the existence of volatility spillover between the two property markets of Hong Kong. Two multivariate stochastic volatility models (MSV), namely Granger causality MSV and DCC-MSV model, are used to capture the time-varying correlations and the volatility spillover effect, respectively. The findings show that the correlations between housing returns and retail property returns follow a dynamic process, and such dynamic correlation could serve as a leading indicator for future property price movements. Besides, the findings also suggest that Hong Kong’s retail property market is generally more volatile than its residential market. Additionally, we find a unilateral volatility spillover from residential property to retail property in the Hong Kong market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
