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 language | English |
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Pages (from-to) | 378-385 |
Number of pages | 8 |
Journal | Property Management |
Volume | 32 |
Issue number | 5 |
DOIs | |
Publication status | Published - 14 Oct 2014 |