TY - JOUR
T1 - Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test
AU - Su, Jen-je
AU - Cheung, Adrian
AU - Roca, Eduardo
PY - 2012/5
Y1 - 2012/5
N2 - 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.
AB - 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.
KW - Autocorrelation test
KW - Market efficiency
KW - Real estate
UR - https://doi.org/10.1016/j.econmod.2012.01.015
UR - http://www.scopus.com/inward/record.url?scp=84858735151&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2012.01.015
DO - 10.1016/j.econmod.2012.01.015
M3 - Article
SN - 0264-9993
VL - 29
SP - 684
EP - 690
JO - Economic Modelling
JF - Economic Modelling
IS - 3
ER -