Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market

Guirguis, Hany; Giannikos, Christos I.; García, Laura Galguera

doi:10.1080/10835547.2007.12089785

Cited by 19 publications

(9 citation statements)

References 12 publications

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“…In a follow‐up examination, Dolde and Tirtiroglu (2002) examine the volatility shifts in U.S. regional housing prices and find that most of the volatility shifts can be attributed to regional rather than national events. Similar transmission effects have been documented in other countries such as Spain (Guirguis, Giannikos and Garcia 2007) and the United Kingdom (Holmans 1990, Meen 1999). Taking a different tack, Miller and Peng (2006) relate U.S. housing price volatility that is measured at the MSA level with important economic and demographic variables.…”

Section: Literature Reviewsupporting

confidence: 75%

Return and Volatility Transmission in U.S. Housing Markets

Miao

Ramchander

Simpson

2011

Real Estate Economics

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This article uses the Case‐Shiller U.S. Home Price Indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco and Miami as among the most influential markets. In terms of volatility linkages, there is a considerable amount of transmission in the East between New York, Boston and Washington, DC, and innovations in the housing markets of Miami, Los Angeles and San Francisco play an influential role within their respective regions. In comparison, markets in the Central and Mountain regions appear to be relatively independent from external influences. Overall, the linkages appear to be more intensive during the active phase of the real estate market (1999–2006) than during the calm phase (1989–1998).

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Section: Literature Reviewsupporting

confidence: 75%

Return and Volatility Transmission in U.S. Housing Markets

Miao

Ramchander

Simpson

2011

Real Estate Economics

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“…Previous research has discovered linkage exists in metropolitan markets in the US plus there is spillover from the large to small markets (Guirguis et al, 2007;Miao et al, 2011). What is intriguing is that Miao et al (2011) found that housing market return transmission patterns among New York, San Francisco and Miami were the most influential markets.…”

Section: Literature Reviewmentioning

confidence: 97%

Information linkages among National, NSW, VIC, and QLD real estate markets in Australia

Wang¹,

Croucher

2020

Accounting & Finance

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We examine information and volatility linkages among NATIONAL, NSW, VIC and QLD housing markets in Australia using the novel rational expectations framework of financial contagion and a combination of robust econometric methods including the Generalised Method of Moments (GMM), correlations and Generalised Impulse Response Method, etc. We find information linkages across markets are revealed in the correlations of their volatilities and correlations of the house price returns. Moreover, we find these volatilities reflect house price patterns of the most important four real estate economic cycles over the last two decades.

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“…There have only been a few studies thus far to analyze risk spreading and volatility spillovers in the housing market. Guirguis, Giannikos and Garcia (2007), for example, use a bivariate GARCH model to analyze potential volatility spillovers between two Spanish municipalities, Coslada (small city) and Madrid (large city). However, they do not find evidence of such spillover effects.…”

Section: Literature Reviewmentioning

confidence: 99%

Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets

Zhu

Füss

Rottke

2012

Real Estate Economics

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This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.

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Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market

Cited by 19 publications

References 12 publications

Return and Volatility Transmission in U.S. Housing Markets

Return and Volatility Transmission in U.S. Housing Markets

Information linkages among National, NSW, VIC, and QLD real estate markets in Australia

Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets

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