The role of news in the fluctuations of housing price

Nazar Dahmardeh; Reza Khaki; Marziyeh Esfandiari

doi:10.21511/imfi.15(3).2018.24

Investment Management & Financial Innovations (Sep 2018)

The role of news in the fluctuations of housing price

Nazar Dahmardeh,
Reza Khaki,
Marziyeh Esfandiari

Affiliations

Nazar Dahmardeh: Ph.D., Professor, Economic Department, Faculty of Economics and Management, University of Sistan and Baluchestan, Zahedan
Reza Khaki: M.A. in Economics, Economic Department, Faculty of Economics and Management University of Sistan and Baluchestan, Zahedan
Marziyeh Esfandiari: Ph.D., Assistant Professor, Economic Department, Faculty of Economics and Management, University of Sistan and Baluchestan, Zahedan

DOI: https://doi.org/10.21511/imfi.15(3).2018.24
Journal volume & issue: Vol. 15, no. 3
pp. 294 – 303

Abstract

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The main purpose of this paper is to evaluate the impact of the news on the housing price volatility in Iran. To do so, symmetric and asymmetric models such as GARCH, T-ARCH, EGARCH and APGARCH are applied by using annual data for the period 1971–2013. The empirical results confirm the asymmetric and leverage effects of news in Iran housing market. Also the impact of shocks indicates that negative news affect the housing price fluctuations further more than positive news with the same size.

Published in Investment Management & Financial Innovations

ISSN: 1810-4967 (Print); 1812-9358 (Online)
Publisher: LLC "CPC "Business Perspectives"
Country of publisher: Ukraine
LCC subjects: Social Sciences: Finance
Website: https://businessperspectives.org/journals/investment-management-and-financial-innovations?category_id=30

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