Abstract
Chinese megacities have undergone significant spatial urban expansion and dramatic increases in housing prices in recent years, therefore, they offer a good opportunity to test general theories of price–volume relationships. In contrast to existing theories of urban growth, our analysis shows that: (1) the price–volume connectedness in fast-growth megacities are indeed substantial, and likely run from volume to price; (2) the pairwise connectedness is asymmetric and independent of the distance between megacities; (3) the connectedness of the price shocks across megacities is weak, whereas the connectedness of transaction volume shocks across megacities tends to be strong; and (4) the behavior of the total connectedness index is not constant over time—it is affected by government regulation and policy uncertainty. These findings are useful for the government to evaluate the market cycle risk and provide insights for future relevant decisions, as well as for private-sector managers to manage risks.
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Notes
The exchange rate of RMB vs. USD is on average 7.13: 1 in 2019.
For a detailed discussion about this formula, see, e.g., Baruník and Křehlík (2018).
More details related to characteristic of these megacities can refer to the Supplementary Material.
For a detailed please see https://www.wind.com.cn/en/edb.html
The findings in Table 3 are robust, more details please see the robust test of the Supplementary Material.
In order to obtain more estimated observation, the study mainly use a 30-month rolling window, despite there are not any justifications for doing that. Moreover, this study also examined the results using alternative lengths rolling window, they are very similar to results presented in the paper.
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This work was supported by Innovation Project (Asset Management Research) for China's Guangdong Provincial Universities (Project Number: 2018WCXTD004).
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Nong, H. Understanding Housing Price–volume Connectedness: The Case of Housing Markets in Major Megacities of China. Appl. Spatial Analysis 15, 947–965 (2022). https://doi.org/10.1007/s12061-021-09431-1
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DOI: https://doi.org/10.1007/s12061-021-09431-1