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Volatility clustering in land markets


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Authors

Bao, HX 
Huang, HH 
Huang, YL 
Lin, PT 

Abstract

jats:sec<jats:title content-type="abstract-heading">Purpose</jats:title>jats:p– The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.</jats:p></jats:sec>jats:sec<jats:title content-type="abstract-heading">Design/methodology/approach</jats:title>jats:p– Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets.</jats:p></jats:sec>jats:sec<jats:title content-type="abstract-heading">Findings</jats:title>jats:p– Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas.</jats:p></jats:sec>jats:sec<jats:title content-type="abstract-heading">Originality/value</jats:title>jats:p– The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.</jats:p></jats:sec>

Description

Keywords

3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services, 15 Life on Land

Journal Title

Property Management

Conference Name

Journal ISSN

0263-7472

Volume Title

32

Publisher

Emerald