Momentum Effect and Turnover Rate in the Seoul Metropolitan Housing Market

This study systematically analyzes momentum effects in the housing market of the Seoul metropolitan area, focusing on sub-markets, periods of price increases and decreases, and transaction turnover rates. The analysis reveals a strong momentum effect in the metropolitan housing market, which tends to be more pronounced during periods of price increases. The momentum effect was particularly evident in Gyeonggi Province compared to that in other regions. Furthermore, using the capital asset pricing model, the study identified excess returns that cannot be explained by market risk, suggesting market inefficiencies. The momentum effect was stronger in areas with lower transaction turnover rates, implying that a lack of housing transactions hinders the dissemination of information, leading to an underreaction to information and reinforcement of momentum effect. These findings suggest that liquidity-enhancing policies, such as reducing transaction taxes, could improve market efficiency and contribute to stabilizing housing prices.