A Study on the Volatility of Housing Price in Seoul

AUTHORS

Cha-Soon Choi,Associate Professor 31020 Dept. of Real Estate Studies, Namseoul University, 91 Daehakro, Seonghwan-eup, Seobuk-gu, Sheonan-si, Chungnam, Seoul, Korea

ABSTRACT

This study is empirical analysis on the volatility of housing price and the spillover effect, which was conducted using the EGARCH model for the time series data of key money deposit amount and the sale price of houses in Gangnam and Gangbuk of Seoul from January 2003 to April 2019. First, the result of the analysis showed that for the key money deposit and sale price model for Gangnam areas, EGARCH (1,1) model that examines the asymmetric effect was more appropriate than the GARCH (1,1) model. Second, it was found that there is the spillover effect from the key money deposit price in Gangnam to the sale price in Gangnam. However, there was no spillover effect on the sale price in Gangbuk and Seoul. A 1% increase in the key money deposit price in Gangnam led to a 0.158% increase in the sale price in Gangnam. Third, the volatility in house price in Gangnam and Gangbuk was affected more by the volatility from the previous month rather than the spillover effect of the fluctuation in the key money deposit price in Gangnam. It is necessary for the government to establish multiple demand and supply policies and dynamically control the market in order to stabilize the fluctuating housing market.

 

KEYWORDS

Housing Price, Volatility, Spillover Effect, EGARCH Model, Housing Rental Price.

REFERENCES

[1]     S. J. Kwak and J. S. Lee, “The Impacts of Public Policy on Housing Price Volatility Changes”. Housing Studies Review. (2006), Vol.14, No.2, pp.175-194.
[2]     N. Miller and L. Peng, “Exploring Metropolitan Housing Price Volatility”. Journal of Real Estate Finance and Economics. (2006), Vol.33, pp.5-18. DOI: 10.1007/s11146-006-8271-8(CrossRef)(Google Scholar)
[3]     G. Willcocks, “Conditional Variences in UK Regional House Prices”. Spatial Economic Analysis. (2010), Vol.5, No.3, pp.339-354. DOI: 10.1080/17421772.2010.493951(CrossRef)(Google Scholar)
[4]     J. M. Lim, “A study on the Volatility of Housing Sales Prices. Housing Studies Review”. (2006), Vol.14, No.2, pp.65-84.
[5]     J. H. Kim and J. H. Chung, “A Studies on the Volatility of Housing Price Using GARCH, EGARCH Model”. Korea Real Estate Academy Review. (2011), Vol.47, pp.367-383.
[6]     D. B. Nelson, “Conditional Heteroscedasticity in Asset Return: a New Approach”. Econometrica. (1991), Vol.59, No.2, pp.347-370. DOI: 10.2307/2938260(CrossRef)(Google Scholar)
[7]     S. K. Lee, “The Spillover Effect of Price Chang and Volatility from Seoul Housing Mrket to Local Markets”. Journal of Korea Planners Association. (2003), Vol.38, No.7, pp.81-90.
[8]     D. Dickey and W. A. Fuller, “Distribution of Estimates for Autoregressive Time Series with a Unit Root”. Journal of the American Statistical Association. (1979), Vol.74, pp.427-431.

CITATION

  • APA:
    Choi,C.S.(2019). A Study on the Volatility of Housing Price in Seoul. World Journal of Accounting, Finance and Engineering, 3(2), 1-6. http://dx.doi.org/10.21742/WJAFE.2019.3.2.01
  • Harvard:
    Choi,C.S.(2019). "A Study on the Volatility of Housing Price in Seoul". World Journal of Accounting, Finance and Engineering, 3(2), pp.1-6. doi:http://dx.doi.org/10.21742/WJAFE.2019.3.2.01
  • IEEE:
    [1]C.S.Choi, "A Study on the Volatility of Housing Price in Seoul". World Journal of Accounting, Finance and Engineering, vol.3, no.2, pp.1-6, Nov. 2019
  • MLA:
    Choi Cha-Soon. "A Study on the Volatility of Housing Price in Seoul". World Journal of Accounting, Finance and Engineering, vol.3, no.2, Nov. 2019, pp.1-6, doi:http://dx.doi.org/10.21742/WJAFE.2019.3.2.01

ISSUE INFO

  • Volume 3, No. 2, 2019
  • ISSN(p):2208-8512
  • ISSN(o):2208-8520
  • Published:Nov. 2019