Do Housing Trading Volume Explain Housing Prices or the Converse?

임재만

doi:10.15793/kspr.2011.69..001

This empirical article examines the issue of whether movements in sales explain subsequent movement in price or the converse in housing market in Korea. This paper analyzes the housing markets in 14 metropolitan in Korea from Jan 2006 to Sep 2010, with GARCH model and VAR model on panel data of prices and volume, and several exogenous variables(consumer price index, household loan market, bond market, stock market). This empirical results reveal that (i) housing trading volume Granger cause housing price, and vice versa. This result support some part of the theory that price has impact on volume in tight market. (ii) the effect of volume variation of current and previous periods on price variation is statistically significant, but there was no evidence of leverage effect and asymmetry. (iii) The increase of volume always causes the subsequent price higher, and the increase of price always causes the subsequent volume higher. These results is because of the mutual Granger causality. (iv) The relation of price and volume is affected with the conditions of CPI, loan market, bond market, and stock market. This paper, however, has a limitation that data are collected largely from increasing periods of trading volume and sales prices.

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REFERENCES (31)
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* 2021년 이후 발행 논문의 참고문헌은 현재 구축 중입니다.

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