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Price discovery and dynamics across housing developers in China

Author

Listed:
  • Guoying Deng

    (Sichuan University)

  • Manuel A Hernandez

    (International Food Policy Research Institute)

  • Yaoguo Wu

    (Sichuan University)

Abstract

This paper examines the short-term price dynamics in mean and volatility across state, private and overseas housing developers in China. We use a unique transaction dataset of new apartment units over the period 2005-2014. The results do not support the price discovery role of one group of developers neither the presence of domino effects.

Suggested Citation

  • Guoying Deng & Manuel A Hernandez & Yaoguo Wu, 2016. "Price discovery and dynamics across housing developers in China," Economics Bulletin, AccessEcon, issue 4, pages 1966-1974.
    • Handle: RePEc:ebl:ecbull:eb-16-00633
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I4-P192.pdf
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    References listed on IDEAS

    as
    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    2. Oikarinen, Elias, 2005. "The Diffusion of Housing Price Movements from Centre to Surrounding Areas," Discussion Papers 979, The Research Institute of the Finnish Economy.
    3. Gardebroek, Cornelis & Hernandez, Manuel A., 2013. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," Energy Economics, Elsevier, vol. 40(C), pages 119-129.
    4. Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332.
    5. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2012. "Private residential price indices in Singapore: A matching approach," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 485-494.
    6. Miss Mali Chivakul & Mr. Waikei R Lam & Xiaoguang Liu & Wojciech Maliszewski & Mr. Alfred Schipke, 2015. "Understanding Residential Real Estate in China," IMF Working Papers 2015/084, International Monetary Fund.
    7. Jing Wu & Yongheng Deng & Hongyu Liu, 2014. "House Price Index Construction in the Nascent Housing Market: The Case of China," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 522-545, April.
    8. Lok Ho & Yue Ma & Donald Haurin, 2008. "Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers," The Journal of Real Estate Finance and Economics, Springer, vol. 37(4), pages 299-316, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Housing market; price discovery; price dynamics; developers; China;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
    • D2 - Microeconomics - - Production and Organizations

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    Access and download statistics

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