EconPapers    
Economics at your fingertips  
 

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

Aviral Tiwari (), Rangan Gupta () and Mark Wohar ()
Additional contact information
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

Abstract: 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
Date: 2019-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.up.ac.za/media/shared/61/WP/wp_2019_34.zp172090.pdf (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:pre:wpaper:201934

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2019-07-13
Handle: RePEc:pre:wpaper:201934