Housing market spillovers through the lens of transaction volume: A new spillover index approach
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DOI: 10.1016/j.jempfin.2021.10.003
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- Jian Yang & Meng Tong & Ziliang Yu, 2023. "Can volume be more informative than prices? Evidence from Chinese housing markets," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 633-672, August.
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- Lan, Hao & Moreira, Fernando & Zhao, Sheng, 2023. "Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 841-859.
- Jian Yang & Zheng Li & Ziliang Yu, 2024. "Low‐ frequency versus high‐frequency housing price spillovers in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 3713-3749, December.
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More about this item
Keywords
Transaction volume; Spillover index; Information transmission; DAG; Data-determined VAR;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
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