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

Tiwari, Aviral K, and Gupta, Rangan and Cunado, Juncal and Sheng, Xin (2020) Testing the white noise hypothesis in high-frequency housing returns of the United States. Economics and Business Letters, 9 (3). pp. 178-188. ISSN 2254-4380

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Official URL: http://dx.doi.org/10.17811/ebl.9.3.2020.178-188

Abstract

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.

Item Type: Journal Article
Keywords: blockwise wild bootstrap, randomized block size, serial co1Telation, weak-form ef­ficiency, white noise test, daily US housing returns
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 06 Apr 2021 10:38
Last Modified: 09 Sep 2021 18:51
URI: https://arro.anglia.ac.uk/id/eprint/706472

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