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Conference Paper: Can liquidity explain spatial dependence in real estate prices?

TitleCan liquidity explain spatial dependence in real estate prices?
Authors
Wong, SKYiu, ECYChau, KW
Issue Date2011
PublisherSocial Science Electronic Publishing, Inc..
Citation
The 46th Annual AREUEA Conference in conjunction with the Meetings of the Allied Social Science Associations (ASSA), Denver, CO., 7-9 January 2011. How to Cite?
AbstractSpatial dependence is often seen as a problem in econometrics rather than 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 nearby property transactions. Weaker spatial dependence is expected when price information in the immediate vicinity 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 find that liquidity (trading volume) of a building depresses horizontal spatial dependence but raises vertical spatial dependence. This does not only confirm the role of liquidity in the real estate price discovery process, but also questions the validity of constant spatial auto-correlation assumption adopted in many studies.
Persistent Identifierhttp://hdl.handle.net/10722/136486
SSRN
1717045

 

DC FieldValueLanguage
dc.contributor.authorWong, SKen_US
dc.contributor.authorYiu, ECYen_US
dc.contributor.authorChau, KWen_US
dc.date.accessioned2011-07-27T02:16:59Z-
dc.date.available2011-07-27T02:16:59Z-
dc.date.issued2011en_US
dc.identifier.citationThe 46th Annual AREUEA Conference in conjunction with the Meetings of the Allied Social Science Associations (ASSA), Denver, CO., 7-9 January 2011.en_US
dc.identifier.urihttp://hdl.handle.net/10722/136486-
dc.description.abstractSpatial dependence is often seen as a problem in econometrics rather than 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 nearby property transactions. Weaker spatial dependence is expected when price information in the immediate vicinity 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 find that liquidity (trading volume) of a building depresses horizontal spatial dependence but raises vertical spatial dependence. This does not only confirm the role of liquidity in the real estate price discovery process, but also questions the validity of constant spatial auto-correlation assumption adopted in many studies.-
dc.languageengen_US
dc.publisherSocial Science Electronic Publishing, Inc..-
dc.relation.ispartofAREUEA-ASSA Annual Conference 2011en_US
dc.rights© 2011 Social Science Electronic Publishing, Inc. All Rights Reserved. For personal & noncommercial use apply only to specific documents and use of specific SSRN-provided statistics and other information.-
dc.titleCan liquidity explain spatial dependence in real estate prices?en_US
dc.typeConference_Paperen_US
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_US
dc.identifier.emailYiu, ECY: ecyyiu@hkucc.hku.hken_US
dc.identifier.emailChau, KW: hrrbckw@hku.hken_US
dc.identifier.authorityWong, SK=rp01028en_US
dc.identifier.authorityYiu, ECY=rp01035en_US
dc.identifier.authorityChau, KW=rp00993en_US
dc.description.naturelink_to_OA_fulltext-
dc.identifier.hkuros186937en_US
dc.publisher.placeUnited States-
dc.identifier.ssrn1717045-

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