This study documents the existence of price change and price volatility effect from Seoul housing market to local markets. Kangnam in Seoul city, Suwon city in capital region and Busan city are chosen for the case study. First, we find that EGARCH(1,1...
This study documents the existence of price change and price volatility effect from Seoul housing market to local markets. Kangnam in Seoul city, Suwon city in capital region and Busan city are chosen for the case study. First, we find that EGARCH(1,1) model is superior to GARCH(1,1) model in Kangnam housing market and news shock breaks out asymmetric volatility effect. It is turned out that good news shock is more effective on the volatility of Kangnam housing market than bad news shock. Second, we demonstrate that price change and price volatility are spreaded from Kangnam housing market to local markets. If the change of housing price index of Kangnam is 1%p, the change of Suwon city is 0.43%p and Busan city is 0.36%p. This result is of help to forecasting the housing price of local large city.