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Information spillover effects of real estate markets: evidence from ten metropolitan cities in China

Li, Junjie, Zheng, Li, Liu, Chunlu and Shen, Zhifeng 2021, Information spillover effects of real estate markets: evidence from ten metropolitan cities in China, Journal of risk and financial management, vol. 14, no. 6, pp. 1-19, doi: 10.3390/jrfm14060244.

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Title Information spillover effects of real estate markets: evidence from ten metropolitan cities in China
Author(s) Li, Junjie
Zheng, Li
Liu, ChunluORCID iD for Liu, Chunlu orcid.org/0000-0003-1144-4355
Shen, Zhifeng
Journal name Journal of risk and financial management
Volume number 14
Issue number 6
Article ID 244
Start page 1
End page 19
Total pages 19
Publisher MDPI AG
Place of publication Basel, Switzerland
Publication date 2021-06
ISSN 1911-8074
Keyword(s) information spillover
web search data
text mining
real estate market
China
Summary With 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.
Language eng
DOI 10.3390/jrfm14060244
Indigenous content off
HERDC Research category C1 Refereed article in a scholarly journal
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30152167

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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.