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

    Access Status
    Fulltext not available
    Authors
    Su, J.
    Cheung, Adrian
    Roca, E.
    Date
    2012
    Type
    Journal Article
    
    Metadata
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    Citation
    Su, Jen-Je and Cheung, Adrian (Wai-Kong) and Roca, Eduardo. 2012. Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test. Economic Modelling. 29 (3): pp. 684-690.
    Source Title
    Economic Modelling
    DOI
    10.1016/j.econmod.2012.01.015
    ISSN
    0264-9993
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/45229
    Collection
    • Curtin Research Publications
    Abstract

    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.

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