TY - JOUR
T1 - Is the Korean housing market following Gangnam style?
AU - Khamis Hamed Al-Yahyaee
AU - Mensi, Walid
AU - Hee-Un Ko
AU - Massimiliano Caporin
AU - Sang Hoon Kang
N1 - Publisher Copyright:
© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
PY - 2021
Y1 - 2021
N2 - Gangnam is a prime district in Korea known for its expensive real estate market due to convenient transportation, shopping and business centers, and elite schools and academies in the area. This paper examines spillovers and network connectedness in the Korean regional markets using the spillover index of Diebold and Yilmaz (J Econom 182:119–134, 2014). We use the quantile regression approach to investigate the macroeconomic factors driving the total spillover effects under low, normal, and high spillovers. We find that the 1997–1998 Asian currency crisis intensified regional spillovers in the Korean housing market. Moreover, Gangnam is the largest transmitter of spillovers across the regional housing markets in Korea. Our visual network illustrates that Gangnam is a hub of connectedness, implying that it is the most influential shock transmitter among the regional housing markets. Our study has an implication for investors: macroeconomic factors affect spillovers across regional housing sales and rental markets under different degrees of spillover.
AB - Gangnam is a prime district in Korea known for its expensive real estate market due to convenient transportation, shopping and business centers, and elite schools and academies in the area. This paper examines spillovers and network connectedness in the Korean regional markets using the spillover index of Diebold and Yilmaz (J Econom 182:119–134, 2014). We use the quantile regression approach to investigate the macroeconomic factors driving the total spillover effects under low, normal, and high spillovers. We find that the 1997–1998 Asian currency crisis intensified regional spillovers in the Korean housing market. Moreover, Gangnam is the largest transmitter of spillovers across the regional housing markets in Korea. Our visual network illustrates that Gangnam is a hub of connectedness, implying that it is the most influential shock transmitter among the regional housing markets. Our study has an implication for investors: macroeconomic factors affect spillovers across regional housing sales and rental markets under different degrees of spillover.
KW - Dynamic spillover
KW - Korean regional housing market
KW - Network connectedness
KW - Quantile regression approach
KW - Spillover index
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U2 - 10.1007/s00181-020-01931-2
DO - 10.1007/s00181-020-01931-2
M3 - Article
SN - 0377-7332
VL - 61
SP - 2041
EP - 2072
JO - Empirical Economics
JF - Empirical Economics
IS - 4
ER -