Detalle Publicación

ARTÍCULO
Testing the white noise hypothesis in high-frequency housing returns of the United States
Autores: Tiwari, AK. ; Gupta, R.; Cuñado Eizaguirre, Juncal; Sheng, X. (Autor de correspondencia)
Título de la revista: ECONOMICS AND BUSINESS LETTERS
ISSN: 2254-4380
Volumen: 9
Número: 3
Páginas: 178 - 188
Fecha de publicación: 2020
Lugar: WOS
Resumen:
In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, 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.