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A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices

Author

Listed:
  • Jorge Belaire-Franch

    (University of Valencia, Spain)

  • Stanley McGreal

    (University of Ulster, Northern Ireland)

  • Kwaku K. Opong

    (University of Glasgow, Scotland)

  • James R. Webb

    (Department of Finance, Cleveland State University, 2121 Euclid Avenue, BU 327E, Cleveland, Ohio 44115,)

Abstract

This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance-ratio test, to examine the behavior of United Kingdom real estate and construction security indices. The results suggest a positive dependence in the index return series and provide a strong rejection of the random walk hypothesis for the two U.K. index series examined in this study. Thus, the efficient market hypothesis (EMH) is not confirmed for these real estate securities indices in the U.K.

Suggested Citation

  • Jorge Belaire-Franch & Stanley McGreal & Kwaku K. Opong & James R. Webb, 2007. "A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices," International Real Estate Review, Global Social Science Institute, vol. 10(2), pages 94-112.
    • Handle: RePEc:ire:issued:v:10:n:02:2007:p:94-112
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    References listed on IDEAS

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    1. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
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    6. Abhyankar, A & Copeland, L S & Wong, W, 1995. "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom," Economic Journal, Royal Economic Society, vol. 105(431), pages 864-880, July.
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    Cited by:

    1. Liu, Jian & Cheng, Cheng & Yang, Xianglin & Yan, Lizhao & Lai, Yongzeng, 2019. "Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    2. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
    3. Schindler, Felix, 2010. "How efficient is the U.K. housing market?," ZEW Discussion Papers 10-030, ZEW - Leibniz Centre for European Economic Research.
    4. Schindler, Felix, 2010. "Market efficiency in the emerging securitized real estate markets," ZEW Discussion Papers 10-033, ZEW - Leibniz Centre for European Economic Research.
    5. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.

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    More about this item

    Keywords

    variance ratio; heteroskedasticity; stock index; random walk; ranks; signsJournal: International Real Estate Review;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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