A Study on Information Spillover Effects between the Korean, U. S. and Japanese Housing Markets

Abstract

Through the recent global financial crisis, there is emerging recognition that a country's housing market shock can affect other countries' housing market volatility. Therefore, this study aims to verify whether price and volatility spillover effects exist between the Korean, U.S., and Japanese housing markets. To this end, this study analyzed the impacts of shocks that occurred in each country on other countries’ housing markets by estimating each country’s returns model of the housing price index from June 1993 until December 2021 using the EGARCH model. The analysis results are as follows: First, the positive asymmetric volatility spillover effect existed due to news shock in the Korean housing market. Second, the negative asymmetric volatility spillover effect was observed due to news shock in the U.S. housing market. Therefore, a leverage effect revealed in the stock market was found. Third, although no asymmetric volatility spillover effect existed between the U.S. and Japanese housing markets, the price spillover effect existed. It was confirmed that information spillover effects were limited in the enormous trends of opening and globalization in the housing market due to real estate’s regional characteristics, unlike the stock market.