Exploring the dynamic relationship between housing and retail property markets: An empirical study of Hong Kong

Chi Man Hui, Xian Zheng

Research output: Journal article publicationJournal articleAcademic researchpeer-review

7 Citations (Scopus)

Abstract

This paper investigates the dynamic conditional correlations (DCCs) between housing returns and retail property returns, and the existence of volatility spillover between the two property markets of Hong Kong. Two multivariate stochastic volatility models (MSV), namely Granger causality MSV and DCC-MSV model, are used to capture the time-varying correlations and the volatility spillover effect, respectively. The findings show that the correlations between housing returns and retail property returns follow a dynamic process, and such dynamic correlation could serve as a leading indicator for future property price movements. Besides, the findings also suggest that Hong Kong's retail property market is generally more volatile than its residential market. Additionally, we find a unilateral volatility spillover from residential property to retail property in the Hong Kong market.
Original languageEnglish
Pages (from-to)85-102
Number of pages18
JournalJournal of Property Research
Volume29
Issue number2
DOIs
Publication statusPublished - 1 Jun 2012

Keywords

  • dynamic relationship
  • housing and retail property returns
  • MCMC
  • MSV
  • volatility spillover

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Urban Studies

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