Spatial linkages in returns and volatilities among U.S. regional housing markets

Bing Zhu, Roland Füss, Nico B. Rottke

Research output: Contribution to journalArticlepeer-review

81 Scopus citations


This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be "wider" and "stronger" than would normally be expected. They are "wider" because, in addition to geographic closeness, economic proximity is also an important source of influence; they are "stronger" because of the significant contagion effects during the 2007-2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.

Original languageEnglish
Pages (from-to)29-64
Number of pages36
JournalReal Estate Economics
Issue number1
StatePublished - Mar 2013
Externally publishedYes


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