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Testing the white noise hypothesis in high-frequency housing returns of the United States

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posted on 2023-07-26, 15:20 authored by Aviral K, Tiwari, Rangan Gupta, Juncal Cunado, Xin Sheng
Utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence.  Our results have important implications for economic agents.

History

Refereed

  • Yes

Volume

9

Issue number

3

Page range

178-188

Publication title

Economics and Business Letters

ISSN

2254-4380

Publisher

Universidad de Oviedo

File version

  • Published version

Language

  • eng

Legacy posted date

2021-04-06

Legacy creation date

2021-04-06

Legacy Faculty/School/Department

Faculty of Business & Law

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