Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998

Andreas Graflund ()
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Andreas Graflund: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden

No 2001:8, Working Papers from Lund University, Department of Economics

Abstract: This paper investigates the information in monthly nominal Swedish real estate stock market returns from 1939-1998. Thus we test the weak form efficient market hypothesis. Our results contradict previous findings from the general Swedish stock market as we find very little evidence of seasonal effects and time varying volatility. Further we find no evidence of mean reversion in the real estate stock market. The overall conclusion is that the nominal real estate stock market returns follow a random walk. Our result suggests in context of previous studies that the irregularities found in the Swedish stock market originate from other industries.

Keywords: real estate; real estate stocks; market efficiency; seasonal effects; mean reversion (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2001-06-15
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