Positive feedback trading and long-term volatility links: evidence from real estate markets of USA, Be/Lux and Switzerland

Abstract

This article investigates the positive feedback trading strategies in the real estate markets of USA, Belgium/Luxembourg (Be/Lux) and Switzerland, linking these strategies with long-term volatility. The results are in favour of a positive feedback trading strategy which negatively influences investors' risk-return position on real estate markets.

Keywords:

• Positive feedback trading
• real estate
• market risk
• FIGARCH

JEL Classification:

• C32
• F30

Notes

¹ We have chosen two European real estate markets (Be/Lux and Switzerland) in order to identify links between autocorrelation and volatility among these markets size. As robustness test, we compare the previous European results with the high-developed real estate market of USA, covering overall widespread dynamic real estate markets for better accuracy of our European results.