Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test

Jen-je Su, Adrian Cheung, Eduardo Roca

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples. We apply the improved test to examine the efficiency of 14 international securitized real estate markets-Australia, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and the United States. Our results show that only six of these markets-Australia, Hong Kong, Italy, Japan, Sweden and the United States are efficient while the rest are inefficient. We also find that the degree of efficiency or inefficiency of each of these markets varies considerably across time. These findings indicate that real estate markets are relatively less efficient as compared to stock and bond markets in general and may also offer an explanation as to why existing studies on real estate market efficiency have mixed results.

Original languageEnglish
Pages (from-to)684-690
Number of pages7
JournalEconomic Modelling
Volume29
Issue number3
DOIs
Publication statusPublished - May 2012

Keywords

  • Autocorrelation test
  • Market efficiency
  • Real estate

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