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

  • 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,)

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.

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Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 10 (2007)
Issue (Month): 2 ()
Pages: 94-112

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Handle: RePEc:ire:issued:v:10:n:02:2007:p:94-112
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  1. Errunza, Vihang, et al, 1994. "Conditional Heteroskedasticity and Global Stock Return Distributions," The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August.
  2. Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
  3. Ayadi, O. Felix & Pyun, C. S., 1994. "An application of variance ratio test to the Korean securities market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 643-658, September.
  4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  5. 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 864-80, July.
  6. Nan Ting Chou & William H. Dare & William Dukes & Christopher K. Ma, 1996. "Random Walks in World Money Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(9-10), pages 1453-1465, December.
  7. 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.
  8. Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.
  9. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
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