Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test
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....
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/45229 |
| _version_ | 1848757224968552448 |
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| author | Su, J. Cheung, Adrian Roca, E. |
| author_facet | Su, J. Cheung, Adrian Roca, E. |
| author_sort | Su, J. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:24:42Z |
| format | Journal Article |
| id | curtin-20.500.11937-45229 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:24:42Z |
| publishDate | 2012 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-452292017-09-13T16:07:46Z Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test Su, J. Cheung, Adrian Roca, E. Real estate Autocorrelation test Market efficiency 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. 2012 Journal Article http://hdl.handle.net/20.500.11937/45229 10.1016/j.econmod.2012.01.015 Elsevier BV * North-Holland restricted |
| spellingShingle | Real estate Autocorrelation test Market efficiency Su, J. Cheung, Adrian Roca, E. Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title | Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title_full | Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title_fullStr | Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title_full_unstemmed | Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title_short | Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test |
| title_sort | are securitised real estate markets efficient?: new international evidence based on an improved automatic portmanteau test |
| topic | Real estate Autocorrelation test Market efficiency |
| url | http://hdl.handle.net/20.500.11937/45229 |