English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 93244/123616 (75%)
Visitors : 27783453      Online Users : 520
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/71494
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/71494


    Title: Asymmetric Volatility of House Prices in the UK
    Authors: 陳明吉
    I-Chun Tsai;Ming-Chi Chen
    Contributors: 財管系
    Keywords: Real estate;Prices;Cyclical demand;Residential property;United Kingdom
    Date: 2009
    Issue Date: 2014-11-14 18:23:32 (UTC+8)
    Abstract: Purpose– The purpose of this paper is to show an indication that the asymmetric volatility between house price movement may account for the defensiveness of the housing market.Design/methodology/approach– First the UK nation‐wide house price data from the last quarter (Q4) of 1955 to the last quarter of 2005 are used and then the most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. Second, a variable that examines the leverage effect of volatility is incorporated into the model. The GJR‐GARCH model is used.Findings– The results of the empirical test show that while the lagged innovations are negatively correlated with housing return, that is when there is bad news, the current volatility of housing return might decline.Research limitations/implications– The results indicate that the volatilities between house prices moving up and moving down are asymmetric.Practical implications– The results show that there is a defensive effect in the UK housing market during the data periods used.Originality/value– Although several articles have documented that there is heteroscedasticity and autocorrelation in the volatilities of real estate prices, few of those papers have noted one of the most important advantages of the housing market, its defensiveness, from the viewpoint of volatile behavior.
    Relation: Property Management, 27(2), 80-90
    Data Type: article
    Appears in Collections:[統計學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    80-90.pdf284KbAdobe PDF677View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback