Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets

36 Pages Posted: 26 Feb 2013

See all articles by Bing Zhu

Bing Zhu

University of Reading - Henley Business School

Roland Füss

University of St. Gallen - School of Finance

Nico B. Rottke

European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate

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Date Written: Spring 2013

Abstract

This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.

Suggested Citation

Zhu, Bing and Füss, Roland and Rottke, Nico B., Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets (Spring 2013). Real Estate Economics, Vol. 41, Issue 1, pp. 29-64, 2013, Available at SSRN: https://ssrn.com/abstract=2224502 or http://dx.doi.org/10.1111/j.1540-6229.2012.00337.x

Bing Zhu

University of Reading - Henley Business School ( email )

Greenlands
Henley, RG9 3AU
United Kingdom

Roland Füss

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland
+41 (0)71 224 70 42 (Phone)
+41 (0)71 224 70 88 (Fax)

HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

Nico B. Rottke

European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany
0611-36 018 931 (Phone)
0611-36 018 902 (Fax)

HOME PAGE: http://www.rem-institute.org

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