The Korea Spatial Planning Review 2023 KCI Impact Factor : 1.2
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pISSN : 1229-8638
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Analysis of Gradual-shift Causality and Volatility Transmission between KOSPI Index and Apartment Price Index
- The Korea Spatial Planning Review
- 2020, 107(), pp.93-106
- DOI : 10.15793/kspr.2020.107..006
- Publisher : 국토연구원
- Research Area :
- Received : September 15, 2020
- Accepted : December 2, 2020
- Published : December 31, 2020
Sangbae Kim 1, Lee Seung-A 2
1경북대학교
2대구경북연구원
Accredited
ABSTRACT
This paper investigates the price transmission and volatility spillover between the KOSPI index and the apartment price index in Korea. Unlike previous studies, we consider gradual shifts as a smooth process in causality and volatility spillover estimations (Nazlioglu, Gormus and Soytas 2019). To take the gradual structural shifts into account, we adopted an extended version of Toda and Yamamoto (1995) and the LM volatility transmission test by incorporating a Fourier approximation and the LM volatility transmission test. The estimation results from the extended Toda-Yamamoto model show that the apartment price index does not cause the KOSPI, but the KOSPI does cause the apartment price index. However, the results from the volatility spillover tests with the Fourier approximation show that there was no volatility transmission effect between the apartment price index and the KOSPI index. We believe that knowledge of the transition effect will help policymakers assess the risk to the real estate market. It could also help investors diversify their portfolios and make risk-averse decisions by allowing them to model incremental shifts.
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