liu-informationspillovereffects-2021.pdf (2.68 MB)
Information spillover effects of real estate markets: evidence from ten metropolitan cities in China
journal contribution
posted on 2021-06-01, 00:00 authored by Junjie Li, Li Zheng, Chunlu LiuChunlu Liu, Zhifeng ShenWith the rapid development of information communication technology and the Internet, information spillover between cities in real estate markets is becoming more frequent. The influence of information spillover in real estate markets is becoming more and more prominent. However, the current research of information spillover between cities is still relatively insufficient. In view of this research gap, this paper builds a research framework on the information conduction effect in the real estate markets of 10 Chinese cities by using Baidu search data, text mining and principal component analysis and analyzes the information interaction and dynamic influence of the real estate markets in each city by using the vector autoregressive model empirically. The results show that the information interaction among the real estate markets in each city has a network pattern and there is a significant two-way information spillover effect in most cities. When the “information distance” becomes closer, the information interaction between the markets of the cities becomes closer and it is easier for cities to influence each other. The results help to explain the information spillover mechanism behind the house price spillover and to improve the ability to predict and analyze the information spillover process in real estate markets.
History
Journal
Journal of risk and financial managementVolume
14Issue
6Article number
244Pagination
1 - 19Publisher
MDPI AGLocation
Basel, SwitzerlandPublisher DOI
Link to full text
eISSN
1911-8074Language
engPublication classification
C1 Refereed article in a scholarly journalUsage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC