Authors:
Hany S. Guirguis
Christos I. Gianniko
Laura G. Garcia

Start Page: 311
End Page: 316
Volume: 13
Issue Number: 4
Year: 2007
Publication: Journal of Real Estate Portfolio Management

Abstract: This study examines the transmission mechanism of prices and volatility spillovers between the housing markets in Coslada (small city) and Madrid (large city) in Spain. Such analysis provides some insights into the processes house prices follow in small and large cities. A bivariate Generalized Autoregressive Conditionally Heteroskedastic model is utilized. The findings reveal strong evidence of a positive unidirectional price spillover from the housing market in Madrid
to the housing market in Coslada. However, there are no volatility spillovers between the two markets. Overall, the results support the conventional expectation that prices spill over from the larger cities to the smaller cities.