Return Persistence in the Indian Real Estate Market

Sanjay Rajagopal () and Patrick Hays
Additional contact information
Sanjay Rajagopal: DBA, Associate Professor of Finance, Western Carolina University; 1 University Drive, 122B Forsyth Building, Western Carolina University, Cullowhee, NC 28723
Patrick Hays: PhD, Professor Emeritus, Western Carolina University

International Real Estate Review, 2012, vol. 15, issue 3, 283-305

Abstract: Over the last decade, numerous factors including robust economic growth, population pressure, and the mounting need for office space among growth sectors such as information technology have placed significant upward pressure on Indian realty prices. The easing of government restrictions on foreign investments and venture capital into Indian real estate have provided an additional fillip to the real estate market in the country, and the confluence of such factors appears to have contributed to a speculative bubble in Indian real estate equities in the latter part of the decade. By using this bubble period as a case study, we test for the existence of long memory among real estate equities. For the January 2006-December 2008 period, we employ three self-affine fractal analysis techniques (classical rescaled range, roughness-length, and the variogram/structure function methods) to estimate the Hurst exponent, and find significant evidence of long memory in the Bombay Stock Exchange (BSE) Realty Index. Return persistence is further confirmed by the more powerful Lo¡¦s modified rescaled range analysis (MRSA), which is robust to short-term dependence. In addition to potential regulatory policy implications for this emerging market, our results have ramifications for modeling and forecasting returns, as well as for technical trading rules.

Keywords: Fractal analysis; Long-Memory; Return persistence; Market efficiency; Indian Real Estate; Real Estate bubbles (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.gssinst.org/irer/wp-content/uploads/20 ... al-estate-market.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:15:n:03:2012:p:283-305

Ordering information: This journal article can be ordered from
Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850
https://www.gssinst.org/gssinst/index.html

Access Statistics for this article

International Real Estate Review is currently edited by Professor Sing Tien Foo and Professor Ko Wang

More articles in International Real Estate Review from Global Social Science Institute Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850.
Bibliographic data for series maintained by IRER Graduate Assistant/Webmaster ().