How efficient is the U.K. housing market?
AbstractExtending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings from the technical trading strategies support the results from the statistical tests and suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based strategies compared to a buy-and-hold strategy for 10 out of 14 markets. --
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Bibliographic InfoPaper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 10-030.
Date of creation: 2010
Date of revision:
Housing market; weak-form market efficiency; random walk hypothesis; variance ratio tests; runs test; trading strategies;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Production Analysis, and Firm Location - - - Housing Supply and Markets
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- 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, Asian Real Estate Society, vol. 10(2), pages 94-112.
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