This study applies a Lagrange Multiplier (LM) test for the AutoRegressive Conditional Heteroskedasticity (ARCH) effects and an Exponential Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial...

Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches. Design/methodology/approach – Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify...

Currently, there exists relatively little research investigating the long-term association between stock and direct real estate markets. Using appropriate transaction-based property indices, this study focuses on the relationship between stock and direct real estate markets in nine Asian...

Currently, there exists relatively little research investigating the long-term association between stock and direct real estate markets. Using appropriate transaction-based property indices, this study focuses on the relationship between stock and direct real estate markets in nine Asian...

This article provides international evidence on the effects of volatility spillover in Asian real estate investment trust (REIT) markets. Six Asian markets (Taiwan, Japan, Malaysia, Singapore, Hong Kong and South Korea) are examined through the generalized autoregressive conditional...