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Conference Paper: Trading volume-induced spatial autocorrelation in real estate prices

TitleTrading volume-induced spatial autocorrelation in real estate prices
Authors
KeywordsPrice discovery
Real estate
Spatial dependence
Trading volume
Issue Date2013
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638
Citation
The 2010 Asia-Pacific Real Estate Research Symposium, Hong Kong, July 2010. In Journal of Real Estate Finance and Economics, 2013, v. 46 n. 4, p. 596-608 How to Cite?
AbstractSpatial dependence is often seen as a problem in econometrics rather than in economics. This study seeks to find an economic explanation for spatially correlated real estate prices. We posit spatial dependence as a process to discover price information from neighboring property transactions. Weaker spatial dependence is expected when price information in the immediate vicinity of a subject property is abundant. In the context of apartment buildings, in addition to the more commonly known horizontal dependence, there is also spatial dependence in the vertical dimension within the same building. Based on more than 18,000 transactions of highly homogeneous apartment units in Hong Kong, we found that the trading volume of a building depresses horizontal spatial dependence, but raises vertical spatial dependence. This not only confirmed the role of trading volume in the real estate price discovery process, but also questioned the validity of constant spatial autocorrelation assumption adopted in many studies. © 2012 The Author(s).
DescriptionThis journal issue is the Special issue: Asia-Pacific Real Estate Research Symposium 2010
Persistent Identifierhttp://hdl.handle.net/10722/152826
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 1.144
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWong, SKen_HK
dc.contributor.authorYiu, CYen_HK
dc.contributor.authorChau, KWen_HK
dc.date.accessioned2012-07-16T09:49:56Z-
dc.date.available2012-07-16T09:49:56Z-
dc.date.issued2013en_HK
dc.identifier.citationThe 2010 Asia-Pacific Real Estate Research Symposium, Hong Kong, July 2010. In Journal of Real Estate Finance and Economics, 2013, v. 46 n. 4, p. 596-608en_HK
dc.identifier.issn0895-5638en_HK
dc.identifier.urihttp://hdl.handle.net/10722/152826-
dc.descriptionThis journal issue is the Special issue: Asia-Pacific Real Estate Research Symposium 2010-
dc.description.abstractSpatial dependence is often seen as a problem in econometrics rather than in economics. This study seeks to find an economic explanation for spatially correlated real estate prices. We posit spatial dependence as a process to discover price information from neighboring property transactions. Weaker spatial dependence is expected when price information in the immediate vicinity of a subject property is abundant. In the context of apartment buildings, in addition to the more commonly known horizontal dependence, there is also spatial dependence in the vertical dimension within the same building. Based on more than 18,000 transactions of highly homogeneous apartment units in Hong Kong, we found that the trading volume of a building depresses horizontal spatial dependence, but raises vertical spatial dependence. This not only confirmed the role of trading volume in the real estate price discovery process, but also questioned the validity of constant spatial autocorrelation assumption adopted in many studies. © 2012 The Author(s).en_HK
dc.languageengen_US
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638en_HK
dc.relation.ispartofJournal of Real Estate Finance and Economicsen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsThe original publication is available at www.springerlink.com-
dc.subjectPrice discoveryen_HK
dc.subjectReal estateen_HK
dc.subjectSpatial dependenceen_HK
dc.subjectTrading volumeen_HK
dc.titleTrading volume-induced spatial autocorrelation in real estate pricesen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.emailChau, KW: hrrbckw@hku.hken_HK
dc.identifier.authorityWong, SK=rp01028en_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.identifier.authorityChau, KW=rp00993en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1007/s11146-012-9375-yen_HK
dc.identifier.scopuseid_2-s2.0-84876433369en_HK
dc.identifier.hkuros188868en_US
dc.identifier.hkuros201284-
dc.identifier.volume46-
dc.identifier.issue4-
dc.identifier.spage596-
dc.identifier.epage608-
dc.identifier.isiWOS:000318293400003-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridWong, SK=7404591021en_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK
dc.identifier.scopusauthoridChau, KW=24830082500en_HK
dc.identifier.citeulike10721059-
dc.customcontrol.immutablesml 140213-

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