Is the housing market in the United States really weakly-efficient?

dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorGupta, Rangan
dc.contributor.authorWohar, Mark E.
dc.date.accessioned2019-11-22T10:28:23Z
dc.date.issued2020
dc.description.abstractWe analyse the directional predictability of a daily dataset of aggregate and regional (10 major metropolitan cities) housing markets of the United States using the quantilogram – a model-free procedure. We overwhelmingly reject the weak-form of the efficient market hypothesis (EMH), which has been derived thus far by the extant literature based on unit root tests and long-memory models.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2021-04-16
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.tandfonline.com/loi/rael20en_ZA
dc.identifier.citationAviral Kumar Tiwari, Rangan Gupta & Mark E. Wohar (2020): Is the Housing Market in the United States Really Weakly-Efficient?, Applied Economics Letters, 27(14): 1124-1134. DOI: 10.1080/13504851.2019.1673296.en_ZA
dc.identifier.issn1350-4851 (print)
dc.identifier.issn1466-4291 (online)
dc.identifier.other10.1080/13504851.2019.1673296
dc.identifier.urihttp://hdl.handle.net/2263/72389
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 27, no. 14, pp. 1124-1134, 2020. doi : 10.1080/13504851.2019.1673296. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.en_ZA
dc.subjectEfficient market hypothesis (EMH)en_ZA
dc.subjectCorrelogramen_ZA
dc.subjectDependenceen_ZA
dc.subjectQuantilesen_ZA
dc.subjectEfficiencyen_ZA
dc.subjectHousing marketsen_ZA
dc.subjectUnited States (US)en_ZA
dc.titleIs the housing market in the United States really weakly-efficient?en_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Tiwari_Is_2020.pdf
Size:
3.97 MB
Format:
Adobe Portable Document Format
Description:
Postprint Article
Download

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Research Articles (Economics)
Research Articles (University of Pretoria)
Simple item page