Volatility clustering in land markets

Helen Xiaohui Bao, Helen Hui Huang, Yu Lieh Huang, Pin Te Lin*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.

    Design/methodology/approach – Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets.

    Findings – Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas.

    Originality/value – The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

    Original languageEnglish
    Pages (from-to)378-385
    Number of pages8
    JournalProperty Management
    Volume32
    Issue number5
    DOIs
    Publication statusPublished - 14 Oct 2014

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