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Article

Information Spillover Effects of Real Estate Markets: Evidence from Ten Metropolitan Cities in China

1
School of Management Engineering, Zhengzhou University, Zhengzhou 450001, China
2
School of Architecture and Built Environment, Deakin University, Geelong, VIC 3220, Australia
*
Author to whom correspondence should be addressed.
Academic Editor: Edoardo Otranto
J. Risk Financial Manag. 2021, 14(6), 244; https://doi.org/10.3390/jrfm14060244
Received: 26 April 2021 / Revised: 20 May 2021 / Accepted: 20 May 2021 / Published: 31 May 2021
(This article belongs to the Special Issue Correlations and Comovements in Financial Markets)
With the rapid development of information communication technology and the Internet, information spillover between cities in real estate markets is becoming more frequent. The influence of information spillover in real estate markets is becoming more and more prominent. However, the current research of information spillover between cities is still relatively insufficient. In view of this research gap, this paper builds a research framework on the information conduction effect in the real estate markets of 10 Chinese cities by using Baidu search data, text mining and principal component analysis and analyzes the information interaction and dynamic influence of the real estate markets in each city by using the vector autoregressive model empirically. The results show that the information interaction among the real estate markets in each city has a network pattern and there is a significant two-way information spillover effect in most cities. When the “information distance” becomes closer, the information interaction between the markets of the cities becomes closer and it is easier for cities to influence each other. The results help to explain the information spillover mechanism behind the house price spillover and to improve the ability to predict and analyze the information spillover process in real estate markets. View Full-Text
Keywords: information spillover; web search data; text mining; real estate market; China information spillover; web search data; text mining; real estate market; China
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MDPI and ACS Style

Li, J.; Zheng, L.; Liu, C.; Shen, Z. Information Spillover Effects of Real Estate Markets: Evidence from Ten Metropolitan Cities in China. J. Risk Financial Manag. 2021, 14, 244. https://doi.org/10.3390/jrfm14060244

AMA Style

Li J, Zheng L, Liu C, Shen Z. Information Spillover Effects of Real Estate Markets: Evidence from Ten Metropolitan Cities in China. Journal of Risk and Financial Management. 2021; 14(6):244. https://doi.org/10.3390/jrfm14060244

Chicago/Turabian Style

Li, Junjie, Li Zheng, Chunlu Liu, and Zhifeng Shen. 2021. "Information Spillover Effects of Real Estate Markets: Evidence from Ten Metropolitan Cities in China" Journal of Risk and Financial Management 14, no. 6: 244. https://doi.org/10.3390/jrfm14060244

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