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

Aviral Tiwari, Rangan Gupta and Mark Wohar

Applied Economics Letters, 2020, vol. 27, issue 14, 1124-1134

Abstract: We analyse 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.

Date: 2020
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DOI: 10.1080/13504851.2019.1673296

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