Volatility clustering in land markets
Emerald Publishing Group
MetadataShow full item record
Bao, H., Huang, H., Huang, Y., & Lin, P. (2014). Volatility clustering in land markets. Property Management, 32 378-385. https://doi.org/10.1108/PM-02-2014-0009
This study is the first attempt to investigate the volatility clustering in the return of land markets. Using extensive monthly panel data at the provincial level from 1986 to 2013, we identify the existence of time-correlated and time-varying returns in Canadian land markets. Consistent with our proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Our result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.
External DOI: https://doi.org/10.1108/PM-02-2014-0009
This record's URL: https://www.repository.cam.ac.uk/handle/1810/246142