중국 주택시장의 비대칭적 변동성에 관한 연구

A Study on the Asymmetrical Volatility of the Housing Market in China

Purpose – This study analyzes asymmetrical volatility in the Chinese housing market. Particularly, it aims to find whether housing market returns are positively or negatively related to subsequent volatility. Design/Methodology/Approach – The GJR-GARCH model applies to returns on the Chinese housing price index from January 2006 to December 2022. To consider the possibility that the nature of asymmetry depends on the sample period, we repeatedly estimate multiple sub-samples by increasing the end point by one point with the starting point of the sample fixed at January 2006. The period of January 2009 - December 2022 was also analyzed, using January 2009 as the starting point, to exclude the impact of large negative returns during the 2008 global financial crisis. Findings – First, t he nature of a symmetry varies g reatly depending on t he e nd point. Second, when January 2006 is the starting point, a negative relationship between returns and subsequent volatility referred to as typical asymmetry is found for most end points between December 2009 and May 2011, which seems closely related to large negative returns during the 2008 crisis. Third, when January 2009 is the starting point, a positive relationship between returns and subsequent volatility called reverse asymmetry is revealed when the end point is between December 2012 and November 2013, and between August 2016 and December 2022. Research Implications – The reverse asymmetric volatility for the period of 2009-2022 points to the possibility of speculative bubbles in the housing market, supported by the crisis in the Chinese real estate industry from 2021 to 2023.