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Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States

Author

Listed:
  • Aviral Kumar Tiwari

    (Montpellier Business School, 2300, Avenue des Moulins, 34185, Montpellier Cedex 4 0002, France)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Juncal Cunado

    (University of Navarra, School of Economics, Edificio Amigos, E-31080 Pamplona, Spain)

  • Xin Sheng

    (Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, U.K.)

Abstract

In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence. Our results have important implications for economic agents.

Suggested Citation

  • Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019. "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers 201952, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201952
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    More about this item

    Keywords

    Blockwise wild bootstrap; Randomized block size; Serial correlation; Weak-form efficiency; White noise test; Daily US housing returns;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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