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This study is the first attempt to investigate the volatility clustering in the return of land markets. Using extensive monthly panel data at the provincial level from 1986 to 2013, we identify the existence of time-correlated and timevarying returns in Canadian land markets. Consistent with our proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Our result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-free securities' structure and a separable Banach space for strictly arbitragefree securities' structure. We establish, for these two types of spaces, the weakly arbitrage-free pricing theorem and the strictly arbitrage-free pricing theorem, respectively.