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Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market

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  • Hany Guirguis
  • Christos Giannikos
  • Laura Garcia

Abstract

Executive Summary. This study examines the transmission mechanism of prices and volatility spillovers be-tween the housing markets in Coslada (small city) and Madrid (large city) in Spain. Such analysis provides some insights into the processes house prices follow in small and large cities. A bivariate Generalized Autoregressive Conditionally Heteroskedastic model is utilized. The findings reveal strong evidence of a positive unidi-rectional price spillover from the housing market in Madrid to the housing market in Coslada. However, there are no volatility spillovers between the two markets. Overall, the results support the conventional expectation that prices spill over from the larger cities to the smaller cities.

Suggested Citation

  • Hany Guirguis & Christos Giannikos & Laura Garcia, 2007. "Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(4), pages 311-316, January.
    • Handle: RePEc:taf:repmxx:v:13:y:2007:i:4:p:311-316
    DOI: 10.1080/10835547.2007.12089785
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