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Efficiency and seasonality in the UK housing market, 1991-2001

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Author Info
Leslie Rosenthal () (Keele University, Department of Economics)

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Abstract

This 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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File URL: http://www.keele.ac.uk/depts/ec/wpapers/kerp0405.pdf
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Publisher Info
Paper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2004/05.

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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 ]
Handle: RePEc:kee:kerpuk:2004/05

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Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
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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
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Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

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Related research
Keywords: Housing Markets; Market efficiency; Seasonality.;

Other versions of this item:

Find related papers by JEL classification:
R31 - Urban, Rural, and Regional Economics - - Production Analysis and Firm Location - - - Housing Supply and Markets
R20 - Urban, Rural, and Regional Economics - - Household Analysis - - - General
R10 - Urban, Rural, and Regional Economics - - General Regional Economics - - - General

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Cited by:
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  1. Gavin Cameron & John Muellbauer & Anthony Murphy, 2006. "Was There A British House Price Bubble? Evidence from a Regional Panel," Economics Series Working Papers 276, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  2. Antonio F. Galvao, Jr. & Gabriel V. Montes-Rojas & Gabriel Sung Y. Park, 2009. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," City University Economics Discussion Papers 09/04, Department of Economics, City University, London. [Downloadable!]
  3. L. Rachel Ngai & Silvana Tenreyro, 2009. "Hot and Cold Seasons in the Housing Market," CEP Discussion Papers dp0922, Centre for Economic Performance, LSE. [Downloadable!]
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This page was last updated on 2009-11-13.

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