摘要
Purpose The purpose of this paper is to show an indication that the asymmetric volatility between house price movement may account for the defensiveness of the housing market. Design/methodology/approach First the UK nationwide house price data from the last quarter (Q4) of 1955 to the last quarter of 2005 are used and then the most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. Second, a variable that examines the leverage effect of volatility is incorporated into the model. The GJRGARCH model is used. Findings The results of the empirical test show that while the lagged innovations are negatively correlated with housing return, that is when there is bad news, the current volatility of housing return might decline. Research limitations/implications The results indicate that the volatilities between house prices moving up and moving down are asymmetric. Practical implications The results show that there is a defensive effect in the UK housing market during the data periods used. Originality/value Although several articles have documented that there is heteroscedasticity and autocorrelation in the volatilities of real estate prices, few of those papers have noted one of the most important advantages of the housing market, its defensiveness, from the viewpoint of volatile behavior. © 2009, Emerald Group Publishing Limited