Modelling prices and volatilities in the sharing economy

IF 3.6 3区管理学 Q1 ECONOMICS

Tourism Economics Pub Date : 2023-09-11 DOI:10.1177/13548166231200932

Jorge V Pérez-Rodríguez, Juan M Hernández, Julián Andrada-Félix

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Abstract

This paper examines whether short-term rental listings in the sharing accommodation market take account of market risk in their pricing. To do so, we estimate time-varying market risks, and forecast price changes using daily supply-price time series. The empirical analysis was conducted using daily data for the Canary Islands sharing accommodation market for the period January 2016 to September 2021. The following main results were obtained. First, individual listings face systematic risks that are lower than the average market listing return, but multi-unit hosts are more sensitive to market index variations than single-unit hosts. Second, there is a time-varying but long-range dependence on market risk, indicating a slow reversion to the mean level of volatility. Price changes also reflect negative long-range dependence or anti-persistence. Third, volatility does not affect price adjustments in the market (no evidence of risk-return trade-off) for types of hosts and lodgings. Fourth, models can be used to perform risk management using value-at-risk approaches, and market risks are greater for houses and single-unit hosts in the GBP market. Finally, prices can be predicted in different horizons using long-range dependence models.

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对共享经济中的价格和波动进行建模

本文考察了共享住宿市场的短期租赁清单在定价时是否考虑了市场风险。为此，我们估计时变的市场风险，并使用每日供应价格时间序列预测价格变化。实证分析是使用2016年1月至2021年9月期间加那利群岛共享住宿市场的每日数据进行的。得到了以下主要结果。首先，个体上市面临的系统性风险低于市场平均上市收益，但多台主机对市场指数变化的敏感性高于单台主机。其次，对市场风险存在时变但长期的依赖，这表明波动性缓慢地回归到平均水平。价格变化也反映了负的长期依赖性或反持久性。第三，对于不同类型的房东和住宿，波动性不会影响市场的价格调整(没有证据表明存在风险回报权衡)。第四，模型可用于使用风险价值方法进行风险管理，而英镑市场中的房屋和单单元主机的市场风险更大。最后，可以使用长期依赖模型在不同的范围内预测价格。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Tourism Economics Multiple-

CiteScore

9.30

自引率

11.40%

发文量

期刊介绍： Tourism Economics, published quarterly, covers the business aspects of tourism in the wider context. It takes account of constraints on development, such as social and community interests and the sustainable use of tourism and recreation resources, and inputs into the production process. The definition of tourism used includes tourist trips taken for all purposes, embracing both stay and day visitors. Articles address the components of the tourism product (accommodation; restaurants; merchandizing; attractions; transport; entertainment; tourist activities); and the economic organization of tourism at micro and macro levels (market structure; role of public/private sectors; community interests; strategic planning; marketing; finance; economic development).