Is the Housing Market in the United States Really Weakly-Efficient?
Aviral Tiwari (),
Rangan Gupta () and
Mark Wohar ()
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Mark Wohar: College of Business Administration, University of Nebraska at Omaha, 6708 Pine Street, Omaha, NE 68182, USA, and School of Business and Economics, Loughborough University, Leicestershire, LE11 3TU, UK
No 201934, Working Papers from University of Pretoria, Department of Economics
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)
New Economics Papers: this item is included in nep-ore and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201934
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