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Volatility clustering in land markets

Volatility clustering in land markets 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 the existence of time-correlated and time-varying returns in Canadian land markets. Findings – Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Originality/value – The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Property Management Emerald Publishing

Volatility clustering in land markets

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0263-7472
DOI
10.1108/PM-02-2014-0009
Publisher site
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Abstract

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 the existence of time-correlated and time-varying returns in Canadian land markets. Findings – Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Originality/value – The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

Journal

Property Management – Emerald Publishing

Published: Oct 14, 2014

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