Information Flow Effect Between the Housing Market and the Chonsei Market

Abstract

This paper examines the information spillover effects between housing sales and chonsei markets using EGARCH model as time series data for the housing sales and chonsei price index. The EGARCH model was used to examine the asymmetric volatility of information, and the overall analysis period is from January 1986 to December 2020, the empirical analysis was conducted by dividing the period from January 1986 to December 1997 before the foreign exchange crisis, and from January 1998 to December 2020 after the foreign exchange crisis. The result of the study is as follows. First, the EGARCH(1,1) model considering asymmetric volatility is suitable. Second, the price spillover effect between housing sales and chonsei markets was positive during the post-exchange crisis period, and the volatility spillover effect was found to have a minor negative effect in both markets. Third, the asymmetric volatility spillover effect exists in two markets, but it is significant in the post-exchange crisis period, indicating that the coupling phenomenon between the two markets is close. The housing market is also more sensitive to good news than bad news. Therefore, policies need to be implemented from a mutually organic perspective to stabilize the housing market.