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http://dx.doi.org/10.3938/jkps.73.1431

Scaling of the Price Fluctuation in the Korean Housing Market  

Kim, Jinho (Department of Social Network Science, Kyung Hee University)
Park, Jinhong (Department of Social Network Science, Kyung Hee University)
Choi, Junyoung (Department of Physics and Research Institute for Basic Sciences, Kyung Hee University)
Yook, Soon-Hyung (Department of Physics and Research Institute for Basic Sciences, Kyung Hee University)
Publication Information
Journal of the Korean Physical Society / v.73, no.10, 2018 , pp. 1431-1436 More about this Journal
Abstract
We study the scaling of the price fluctuation in the Korean housing market. From the numerical analysis, we show that the normalized return distribution of the housing price, P(r), has a fat-tail and is well approximated by a power-law, $P(r){\sim}r^{-({\alpha}+1)}$, with ${\alpha}{\simeq}3$ for the whole data set. However, if we divide the data into groups based on the trading patterns, then the value of ${\alpha}$ for positive tail and negative tail can be different depending on the trading patterns. We also find that the autocorrelation function of the housing price decays much slower than that of the stock exchange markets, which shows a unique feature of the housing market distinguished from the other financial systems.
Keywords
Econophysics; Housing market; Return distribution;
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