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Is The Housing Market In The United States Really Weakly-Efficient?

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We 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.

Level
Postgraduate
Subject
Economics
Type
Article
Institution
University of Pretoria
Language
English
Year
2020
Pages
15 pages
File size
3.97 MB
Format
PDF
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