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Volatility clustering in land markets

Helen Xiaohui Bao (Department of Land Economy, University of Cambridge, Cambridge, UK)
Helen Hui Huang (Faculty of Business Administration, University of Regina, Regina, Canada)
Yu-Lieh Huang (Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan)
Pin-te Lin (Research School of Finance, Actuarial Studies and Applied Statistics, Australian National University, Canberra, Australia)

Property Management

ISSN: 0263-7472

Article publication date: 14 October 2014

321

Abstract

Purpose

The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.

Design/methodology/approach

Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets.

Findings

Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas.

Originality/value

The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

Keywords

Citation

Xiaohui Bao, H., Hui Huang, H., Huang, Y.-L. and Lin, P.-t. (2014), "Volatility clustering in land markets", Property Management, Vol. 32 No. 5, pp. 378-385. https://doi.org/10.1108/PM-02-2014-0009

Publisher

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Emerald Group Publishing Limited

Copyright © 2014, Emerald Group Publishing Limited

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