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What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market

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Abstract

The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect information (search theoretic models). This paper employs data from a commercial real estate market, which face a different degree of severity of capital market constraint than the residential market, and thus provide an indirect but effective test for alternative theories. Policy implications are also discussed.

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Authors and Affiliations

  1. Department of Economics, Chinese University of Hong Kong, Shatin, Hong Kong

    Charles Ka Yui Leung & Dandan Feng

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  1. Charles Ka Yui Leung
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  2. Dandan Feng
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Correspondence to Charles Ka Yui Leung.

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Leung, C.K.Y., Feng, D. What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market. J Real Estate Finan Econ 31, 241–255 (2005). https://doi.org/10.1007/s11146-005-1374-9

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  • DOI: https://doi.org/10.1007/s11146-005-1374-9

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