Volatility clustering in land markets
Change log
Authors
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>