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

Jorge Belaire-Franch (), Stanley McGreal, Kwaku K. Opong and James R. Webb ()
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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,

International Real Estate Review, 2007, vol. 10, issue 2, pages 94-112

Abstract: 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.

Keywords: variance ratio; heteroskedasticity; stock index; random walk; ranks; signsJournal: International Real Estate Review (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2007
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