3.22.70.169
3.22.70.169
close menu
KCI 등재
전세가격에 포함된 주택가격 변동 정보에 대한 연구
A Study on the Forecasting Power of Chonsei Price about Volatility of Housing Price
김정화 ( Jung Hwa Kim ) , 배광일 ( Kwang Il Bae )
부동산학연구 21권 1호 91-102(12pages)
UCI I410-ECN-0102-2015-300-001973179

This study investigates the relation between volatility of housing and Chonsei prices. According to option pricing theory, Chonsei prices should be inversely related to the volatility of housing prices. Therefore, it is conjectured that future housing prices should be more volatile when Chonsei prices are low, assuming an efficient market. To test the hypothesis, time series data for housing and Chonsei prices in Seoul and other metropolises were analyzed. The results are as follows. First, an inverse relation between Chonsei prices and the volatility of future housing prices was observed for Seoul during the 2007-2008, global financial crisis. However, this inverse relationship was not observed in other metropolises. Second, the implied volatility from Chonsei prices doesn’t predict the future volatility of housing prices. Third, according to cross-sectional analysis, the volatility of future housing prices is inversely related to Chonsei prices.

I. 서론
II. 선행연구의 검토
III. 옵션과 전세의 관계 그리고 가설
IV. 실증분석
V. 결론
참고문헌
[자료제공 : 네이버학술정보]
×