Information linkages among National, NSW, VIC, and QLD real estate markets in Australia

Jingjing (Justine) Wang*, John Croucher

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

We examine information and volatility linkages among NATIONAL, NSW, VIC and QLD housing markets in Australia using the novel rational expectations framework of financial contagion and a combination of robust econometric methods including the Generalised Method of Moments (GMM), correlations and Generalised Impulse Response Method, etc. We find information linkages across markets are revealed in the correlations of their volatilities and correlations of the house price returns. Moreover, we find these volatilities reflect house price patterns of the most important four real estate economic cycles over the last two decades.
Original languageEnglish
Number of pages28
JournalAccounting and Finance
Early online date22 Oct 2020
DOIs
Publication statusE-pub ahead of print - 22 Oct 2020

Keywords

  • Core real estate markets
  • Information linkages
  • Rational expectation
  • Volatility linkage

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