IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v25y2019i1p25-52.html
   My bibliography  Save this article

The Spatial Heterogeneity of the Time-varying Impact of Shocks on Volatility: Some Evidence from MSA Housing Markets

Author

Listed:
  • Geoffrey Ngene
  • Allen K. Lynch
  • Daniel P. Sohn

Abstract

Executive Summary. In this study, we investigate the time-varying response of conditional variance to endogenous and exogenous shocks. Using MSA-level monthly data spanning 31 years and two asymmetric volatility models, we find evidence of volatility clustering and the asymmetric effects of good and bad news on conditional variance. The conditional variances of “superstar” cities suggest that they strongly respond to good news but mildly respond to bad news. Conversely, the conditional variances of Southern and Midwestern cities in the U.S. respond strongly to bad news but marginally to good news. The evidence has important implications for the pricing of real estate derivatives and on the adoption of dynamic hedging strategies after major shocks.

Suggested Citation

  • Geoffrey Ngene & Allen K. Lynch & Daniel P. Sohn, 2019. "The Spatial Heterogeneity of the Time-varying Impact of Shocks on Volatility: Some Evidence from MSA Housing Markets," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 25(1), pages 25-52, January.
    • Handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:25-52
    DOI: 10.1080/10835547.2019.12090022
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2019.12090022
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2019.12090022?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:25:y:2019:i:1:p:25-52. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.