Eres : Digital Library : Works

Paper eres2011_169:
Relationship between volatility and spatial autocorrelation in real estate prices

id eres2011_169
authors Lo, Daniel Yet Fhang
year 2011
title Relationship between volatility and spatial autocorrelation in real estate prices
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary It has been widely acknowledged that real estate prices are spatially autocorrelated and correcting for spatial autocorrelation has become a standard practice in hedonic pricing models to improve estimation efficiency. However, its causes have not yet been fully explored. This paper puts forward by hypothesizing that spatial autocorrelations in housing prices are determined by market volatility: low market volatility weakens spatial autocorrelations and vice versa. The hypothesis is tested using data for over 150 000 transactions of homes sold between 1997 and 2009 in Hong Kong. The empirical results confirm the volatility explanation for the spatial autocorrelations. The finding contributes to a better understanding of the causes of spatial autocorrelation.
keywords spatial autocorrelation, volatility driver, hedonic modelling, risk management residential housing market conditional autoregressive value at risk hong kong
series ERES:conference
email daniello@hku.hk
content file.pptx (314,447 bytes)
discussion No discussions. Post discussion ...
ratings
session H2: Housing Market (V)
last changed 2011/07/16 16:26
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