Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances

REAL ESTATE ECONOMICS, Vol. 25 No. 4, Winter 1997

Posted: 10 Oct 1997

See all articles by Walter Dolde

Walter Dolde

University of Connecticut - Department of Finance

Dogan Tirtiroglu

Kadir Has University

Abstract

This article examines patterns of temporal and spatial diffusion of real estate price changes. In addition to means, changes in volatility are tracked in reaction to substantial new information, estimated with GARCH-M methods. The data covers towns in Connecticut and near San Francisco. There is evidence of negative feedback at short lags, contrary to previous research on housing and other assets. There is also evidence of a moving average error process which tends to reverse recent shocks. Significantly positive spatial information diffusion is found from neighboring towns in Connecticut but none in control tests on non-neighboring towns. The results also include evidence of a risk-reward tradeoff in housing price changes in the San Francisco area.

JEL Classification: R32

Suggested Citation

Dolde, Walter and Tirtiroglu, Dogan, Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances. REAL ESTATE ECONOMICS, Vol. 25 No. 4, Winter 1997. Available at SSRN: https://ssrn.com/abstract=11278

Walter Dolde (Contact Author)

University of Connecticut - Department of Finance ( email )

School of Business
One Univesity Place
Stamford, CT 06901-2315
United States
203-301-0806 (Phone)

Dogan Tirtiroglu

Kadir Has University ( email )

Istanbul
Turkey

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