Efficiency and seasonality in the UK housing market, 1991-2001
AbstractThis paper considers the informational efficiency of the UK owner-occupied housing market over the period 1991-2001. Original small-area, monthly, house price index series are developed from raw housing transactions observations for a number of UK counties and cities. These series are then tested for characteristics indicative of weak market efficiency and seasonality. The major conclusions drawn are that there exists little evidence to support notions of inefficiency in these markets for this period.
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Bibliographic InfoPaper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2004/05.
Length: 38 pages
Date of creation: Jun 2004
Date of revision:
Publication status: Published in Oxford Bulletin of Economics and Statistics, Volume 68, Issue 3, pages 289-318, June 2006. [ doi:10.1111/j.1468-0084.2006.00163.x ]
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Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
Web page: http://www.keele.ac.uk/depts/ec/cer/
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Postal: Centre for Economic Research, Research Institute for Public Policy and Management, Keele University, Staffordshire ST5 5BG - United Kingdom
Other versions of this item:
- Leslie Rosenthal, 2006. "Efficiency and Seasonality in the UK Housing Market, 1991-2001," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(3), pages 289-317, 06.
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
- R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-13 (All new papers)
- NEP-FMK-2006-05-13 (Financial Markets)
- NEP-GEO-2006-05-13 (Economic Geography)
- NEP-URE-2006-05-13 (Urban & Real Estate Economics)
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- Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 48(1), pages 132-163, January.
- Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," SRE-Disc sre-disc-2009_07, Institute for the Environment and Regional Development, Department of Socioeconomics, Vienna University of Economics and Business.
- L.Rachel Ngai & Silvana Tenreyro, 2008.
"Hot and cold seasons in the housing markets,"
LSE Research Online Documents on Economics
4994, London School of Economics and Political Science, LSE Library.
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- Ngai, Liwa Rachel & Tenreyro, Silvana, 2013. "Hot and Cold Seasons in the Housing Market," CEPR Discussion Papers 9427, C.E.P.R. Discussion Papers.
- L. Rachel Ngai & Silvana Tenreyro, 2009. "Hot and cold seasons in the housing market," LSE Research Online Documents on Economics 25497, London School of Economics and Political Science, LSE Library.
- L. Rachel Ngai & Silvana Tenreyro, 2013. "Hot and cold seasons in the housing market," LSE Research Online Documents on Economics 54251, London School of Economics and Political Science, LSE Library.
- L. Rachel Ngai & Silvana Tenreyro, 2009. "Hot and Cold Seasons in the Housing Market," CEP Discussion Papers dp0922, Centre for Economic Performance, LSE.
- de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
- Cameron, Gavin & Muellbauer, John & Murphy, Anthony, 2006.
"Was There a British House Price Bubble? Evidence from a Regional Panel,"
CEPR Discussion Papers
5619, C.E.P.R. Discussion Papers.
- Cameron, Gavin & Muellbauer, John & Murphy, Anthony, 2006. "Was There A British House Price Bubble? Evidence From A Regional Panel," ERES, European Real Estate Society (ERES) eres2006_150, European Real Estate Society (ERES).
- John Muellbauer & Gavin Cameron & John Muellbauer, 2006. "Was There A British House Price Bubble? Evidence from a Regional Panel," Economics Series Working Papers 276, University of Oxford, Department of Economics.
- Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 46(1), pages 44-90, January.
- Erik R. de Wit & Peter Englund & Marc Francke, 2010. "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers 10-039/2, Tinbergen Institute.
- Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
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