Is the Housing Market in the United States Really Weakly-Efficient?

Aviral Tiwari, Rangan Gupta and Mark Wohar ()

No 201934, Working Papers from University of Pretoria, Department of Economics

Abstract: We analyze the directional predictability of a daily dataset of aggregate and regional (10 major metropolitan cities) housing markets of the United States using the quantilogram – a model-free procedure. We overwhelmingly reject the weak-form of the efficient market hypothesis (EMH), which has been derived thus far by the extant literature based on unit root tests and long-memory models.

Keywords: Correlogram; dependence; quantiles; efficiency; housing markets; US (search for similar items in EconPapers)
JEL-codes: C22 R31 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2019-04
New Economics Papers: this item is included in nep-ore and nep-ure
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Journal Article: Is the Housing Market in the United States Really Weakly-Efficient? (2020)
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