• Proceedings of the Safety Management and Science Conference
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• 2009.04a
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• pp.305-308
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• 2009

According to the returns of Housing and business cycle over the period 1992 to 2007, it is a measure of the total volatility faced by investors in Housing properties. First, it isn't a distinct difference from business cycle contrary to U.S. Second, the rise of purchase price in total apartments moves up the consumer price index. According to the cross-sectional dispersion of returns and growth in net operating income (NOI) of apartments, industrial, retail and office properties using panel data for U.S. metropolitan areas over the period 1986 to 2002, it is a measure of the total volatility faced by investors in commercial real estate. To the extent that most of that volatility is difficult to diversify, cross-sectional dispersion may be an appropriate measure of risk.

• Journal of the Economic Geographical Society of Korea
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• v.13 no.2
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• pp.234-252
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• 2010

This paper examines the tendency of housing assets to become increasingly quasi-financial assets by analyzing the relationships between risks and returns in three Gangnam districts (Gangnam-gu, Seocho-gu and Songpa-gu) apartment markets in Seoul, especially for the apartments to be reconstructed, capitalizing upon some capital asset pricing models (CAPM). A single factor CAPM model shows positive relationships between risks and returns regardless of the types of apartments in three Gangnam districts. Multi-factors CAPM models also confirm that the market and SMB (small minus big) factors are positively related to the rate of returns regardless of the types of apartments. However, the unsystematic risk factor is found to be statistically positive especially for the apartments to be reconstructed, while the momentum factor is dependent upon the regression models used. An analysis on some portfolios classified by the size of apartments and price volatility and/or beta values suggests that there are the positive linear relationships between risks and returns and the SMB factor is clearly found to be significant in determining the rate of returns. In particular, housing assets are highly highlighted as investment goods and/or quasi financial assets for the apartments to be constructed in the Gangnam housing.

• KDI Journal of Economic Policy
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• v.36 no.3
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• pp.25-60
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• 2014

We examine whether the observed negative relations between stock returns and inflation and between housing returns and inflation can be explained by the inflation illusion hypothesis. We identify the mispricing component in asset prices (i.e., stock prices and housing prices) based on present value models, linear and loglinear models, and we then investigate whether inflation can explain the mispricing component using the data from three countries (the U.S., the U.K., and Korea). When we take into account the potential asymmetric effect of positive and negative inflation on the mispricing components in asset prices, which is an important implication of the inflation illusion hypothesis, we find little evidence for the inflation illusion hypothesis in that both positive and negative inflation rates do not have a negative effect on the mispricing components. Instead, we find that behavioral factors such as consumer sentiments contribute to the mispricing of asset prices.

• Proceedings of the Safety Management and Science Conference
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• 2009.04a
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• pp.455-475
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• 2009

According to the returns of Housing and business cycle over the period 1992 to 2007, it is a measure of the total volatility faced by investors in Housing properties. First, it isn't a distinct difference from business cycle contrary to U.S. Second, the rise of purchase price in total apartments moves up the consumer price index. According to the cross-sectional dispersion of returns and growth in net operating income (NOI) of apartments, industrial, retail and office properties using panel data for U.S. metropolitan areas over the period 1986 to 2002, it is a measure of the total volatility faced by investors in commercial real estate. To the extent that most of that volatility is difficult to diversify, cross-sectional dispersion may be an appropriate measure of risk.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.869-875
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• 2020

As a basic element for sustainable development, the residential housing industry is vital and fundamental for every country in the world. Therefore, this study examines the impacts of financial considerations on house purchase decisions by housing investors in Auckland, New Zealand. 110 completed questionnaires were statistically analyzed. For testing the proposed hypotheses, Structural Equation Modelling (SEM) was used. The results show that house prices, income, and credit accessibility significantly influence housing investors' purchase decisions in a positive direction. It appears that more expensive houses offer more promising returns such that housing investors having higher levels of income and access to loans are brave enough to invest in such houses. This study aims to present the key factors influencing house purchase decisions from the viewpoint of housing investors as fundamental groups of stakeholders in the property market, which is rarely examined in previous studies. The implication of this study is to provide guidelines for housing regulators in New Zealand to develop affordable housing prices through the availability of land banks. This study also offers practical contributions to housing investors, particularly by providing key guidelines to make effective investment decisions.

• Journal of Distribution Science
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• v.16 no.12
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• pp.5-11
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• 2018

Purpose - We investigate the relationship between economic policy uncertainty (EPU) of the US and China and housing distribution economy in Korea using EPU indexes of two countries and the economic indicators in Korea. Research design, data, and methodology - We use the data such as the Korean housing price stability index (HPSI), housing purchase price index (HPPI), housing lease price index (HLPI), banking stock index (BSI), and consumer price index (CPI) with EPU indexes from January 1999 to December 2017. As an empirical methodology, we select the vector error correction model (VECM) due to the existence of cointegration. Result - As results of the impulse response function, the impact of the US EPU index has initially a negative response on the Korean HPSI, HPPI, and HLPI referring the housing distribution market including the economic variables, BSI, and CPI. Likewise, the impact of index in China has initially a negative response on economic indicators except the BSI in Korea. Conclusions - This study shows that the EPU index of the US has significantly negative relationships on all economic indicators in Korea. In this study, we reveal EPU of the US and China has dynamic impact on housing distribution economy returns in Korea.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.2
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• pp.43-51
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• 2018

We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.

• Journal of Distribution Science
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• v.17 no.1
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• pp.11-19
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• 2019

Purpose - We document the impact of economic policy uncertainty (EPU) in the US and China on the dynamic spillover effect of macroeconomics such as stock price, housing price in Korea. Research design, data, and methodology - We use the nine variables to analyze the effect which produces a result among the EPU indexes of the US and China on economic variables which is the consumer price index (CPI), housing purchase price composite index, housing lease price, the stock price index in banking industry, construction industry and distribution industry, and composite leading indicator from January 1995 to December 2016 with the Vector Error Correction Model. Result - The US EPU index has significantly a negative relation on the CPI, housing purchase price index, housing lease price index, the stock price index in banking industry, construction industry, and distribution industry in Korea. Conclusions - We find the dynamic effect of the EPU indexes in the US and China on the macroeconomics returns in Korea. This study has an empirical evidence that the economy market in Korea is influenced by the EPU index of the US rather than it of China. The higher EPU, the more risky the economy of in Korea.

• Korea Real Estate Review
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• v.28 no.2
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• pp.21-34
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• 2018

The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.

• Land and Housing Review
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• v.12 no.3
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• pp.27-37
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• 2021

This paper empirically examined the relationship between the housing market and the stock market to investigate the price and the asymmetric volatility spillover effects. The monthly housing price index and the monthly KOSPI were used for analysis. This research employed the EGARCH model. The analysis period was from January 1986 until June 2021 with periodization centered on the Asian Financial Crisis: before and after the crisis - the end of December 1997. The EGARCH model allows analysis of 'good news' and 'bad news' in understanding volatility. The price spillover effect was observed one way from the stock market to the housing market. On the contrary, the spillover effect was not found from the housing market to the stock market. The empirical evidence suggests that there are price and asymmetric volatility effects in the entire period of analysis in both housing and the stock markets. In the housing market, the negative effects of information were found pre-financial crisis while the positive effects, in other periods. However, in the stock market, the negative effects of information were found in the pre- and post-financial crisis periods. This means that the housing market is more affected by 'good news' than 'bad news' when information spreads to the markets while the stock market is more affected by 'bad news' than 'good news'. It is of significance to discover the variable returns by different information.