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Article: Trading volume and price dispersion in housing markets

TitleTrading volume and price dispersion in housing markets
Authors
KeywordsLiquidity risk
Price dispersion
Trading volume
Volume-price relationship
Issue Date2008
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/09599916.asp
Citation
Journal Of Property Research, 2008, v. 25 n. 3, p. 203-219 How to Cite?
AbstractThe positive volume-price (return) relationship has been intensively studied and confirmed in both financial and real estate markets, yet their theoretic models offered few direct empirical support. This paper puts forward a liquidity premium model which explains the volume-price (return) relationship by the volume-price dispersion relationship. We posit that the extent of price dispersion depends on the level of price information available in the market (measured by the volume of past comparable transactions). The model is tested empirically in two sample periods on the transactions of housing units of an estate in Hong Kong from February 1992 to September 2000 (11,267 transactions), and from May 1991 to May 2008 (18,368 transactions), respectively. The results support our theoretical prediction that the magnitude of price dispersion, as measured by the residuals of a hedonic pricing model, is negatively and significantly related with the volume of transactions in the past 10-day and 30-day period windows. It implies that an increase in liquidity reduces pricing error risk, which in turn reduces the required risk premium in buyers' offering price, and thus a positive volume-price (return) relationship.
Persistent Identifierhttp://hdl.handle.net/10722/168770
ISSN
2015 SCImago Journal Rankings: 0.489
References

 

DC FieldValueLanguage
dc.contributor.authorYiu, CYen_HK
dc.contributor.authorMan, KFen_HK
dc.contributor.authorWong, SKen_HK
dc.date.accessioned2012-10-08T03:32:16Z-
dc.date.available2012-10-08T03:32:16Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal Of Property Research, 2008, v. 25 n. 3, p. 203-219en_HK
dc.identifier.issn0959-9916en_HK
dc.identifier.urihttp://hdl.handle.net/10722/168770-
dc.description.abstractThe positive volume-price (return) relationship has been intensively studied and confirmed in both financial and real estate markets, yet their theoretic models offered few direct empirical support. This paper puts forward a liquidity premium model which explains the volume-price (return) relationship by the volume-price dispersion relationship. We posit that the extent of price dispersion depends on the level of price information available in the market (measured by the volume of past comparable transactions). The model is tested empirically in two sample periods on the transactions of housing units of an estate in Hong Kong from February 1992 to September 2000 (11,267 transactions), and from May 1991 to May 2008 (18,368 transactions), respectively. The results support our theoretical prediction that the magnitude of price dispersion, as measured by the residuals of a hedonic pricing model, is negatively and significantly related with the volume of transactions in the past 10-day and 30-day period windows. It implies that an increase in liquidity reduces pricing error risk, which in turn reduces the required risk premium in buyers' offering price, and thus a positive volume-price (return) relationship.en_HK
dc.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/09599916.aspen_HK
dc.relation.ispartofJournal of Property Researchen_HK
dc.subjectLiquidity risken_HK
dc.subjectPrice dispersionen_HK
dc.subjectTrading volumeen_HK
dc.subjectVolume-price relationshipen_HK
dc.titleTrading volume and price dispersion in housing marketsen_HK
dc.typeArticleen_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.identifier.authorityWong, SK=rp01028en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1080/09599910802696615en_HK
dc.identifier.scopuseid_2-s2.0-65349165834en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-65349165834&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume25en_HK
dc.identifier.issue3en_HK
dc.identifier.spage203en_HK
dc.identifier.epage219en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK
dc.identifier.scopusauthoridMan, KF=22958280200en_HK
dc.identifier.scopusauthoridWong, SK=7404591021en_HK

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