Khối lượng có thể cung cấp thông tin nhiều hơn giá cả? Bằng chứng từ thị trường bất động sản Trung Quốc

Review of Quantitative Finance and Accounting - Tập 61 - Trang 633-672 - 2023
Jian Yang1, Meng Tong2, Ziliang Yu3
1Business School, University of Colorado Denver, Denver, USA
2Department of Social and Political Science, University of Chester, Chester, UK
3School of Finance, Nankai University, Tianjin, China

Tóm tắt

Bài báo này nghiên cứu động thái giá cả - khối lượng theo cặp giữa các thành phố tại Trung Quốc, sử dụng bộ dữ liệu giao dịch giá cả và khối lượng hàng ngày mới từ 32 thành phố Trung Quốc. Mặc dù có sự khác biệt địa lý và biến đổi theo thời gian, mối quan hệ động lực khối lượng - khối lượng đóng vai trò rõ rệt hơn mối quan hệ giá cả - giá cả hoặc giá cả - khối lượng, cho thấy rằng khối lượng có thể cung cấp thông tin tốt hơn giá cả trong bối cảnh các tác động lan tỏa giữa các thành phố bất động sản tại Trung Quốc. Chúng tôi cũng đề xuất một chỉ số lan tỏa/kết nối mới để tóm tắt cả thông tin về giá cả và khối lượng, cũng như đo lường chính xác hơn các tác động lan tỏa này. Chúng tôi nhận thấy chỉ số mới có thể được giải thích đáng kể bởi các yếu tố cơ bản kinh tế, điều này chứng thực cho tính hiệu quả của phát hiện cơ bản.

Từ khóa

#bất động sản #thị trường Trung Quốc #khối lượng #giá cả #động thái giá - khối lượng

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