Volatility clustering in land markets

Abstract

Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches. Design/methodology/approach – Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify the existence of time-correlated and time-varying returns in Canadian land markets. Findings – Consistent with the proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Originality/value – The result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.