Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test

View/ Open
Author(s)
Su, Jen-Je
Cheung, Adrian Wai-Kong
Roca, Eduardo
Griffith University Author(s)
Year published
2012
Metadata
Show full item recordAbstract
We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples. We apply the improved test to examine the efficiency of 14 international securitized real estate markets-Australia, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and the United States. Our results show that only six of these markets-Australia, Hong Kong, ...
View more >We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples. We apply the improved test to examine the efficiency of 14 international securitized real estate markets-Australia, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and the United States. Our results show that only six of these markets-Australia, Hong Kong, Italy, Japan, Sweden and the United States are efficient while the rest are inefficient. We also find that the degree of efficiency or inefficiency of each of these markets varies considerably across time. These findings indicate that real estate markets are relatively less efficient as compared to stock and bond markets in general and may also offer an explanation as to why existing studies on real estate market efficiency have mixed results.
View less >
View more >We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples. We apply the improved test to examine the efficiency of 14 international securitized real estate markets-Australia, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and the United States. Our results show that only six of these markets-Australia, Hong Kong, Italy, Japan, Sweden and the United States are efficient while the rest are inefficient. We also find that the degree of efficiency or inefficiency of each of these markets varies considerably across time. These findings indicate that real estate markets are relatively less efficient as compared to stock and bond markets in general and may also offer an explanation as to why existing studies on real estate market efficiency have mixed results.
View less >
Journal Title
Economic Modelling
Volume
29
Issue
3
Copyright Statement
© 2012 Elsevier Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
Subject
Applied economics
Econometrics
Banking, finance and investment
Banking, finance and investment not elsewhere classified