MOMENTUM AND MEAN REVERSION IN REGIONAL HOUSING MARKETS: EVIDENCE FROM VARIANCE RATIO TESTS
نویسندگان
چکیده
منابع مشابه
New variance ratio tests to identify random walk from the general mean reversion model
We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(1) process but takes the form of a general ARMA process. We then derive some properties of the GMR process and three new nonparametric tests comparing the relative variability of returns over different horizons to va...
متن کاملThe random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992–2007. The hypothesis is tested with new multiple variance ratio tests – Whang-Kim subsampling and Kim’s wild bootstrap tests – as well as the conventional multiple Chow-Denning test. We find that Class B shares for Chinese stock exchanges do n...
متن کاملThe efficiency of the crude oil markets: Evidence from variance ratio tests
This study examines the random walk hypothesis for the crude oil markets, using daily data over the period 1982–2008. The weak-form efficient market hypothesis for two oil crude markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by Wright (2000) and Belaire-Franch and Contreras (2004) as well as the wild-bootstrap variance ratio tests ...
متن کاملRegional sensitivity analysis using revised mean and variance ratio functions
The variance ratio function, derived from the contribution to sample variance (CSV) plot, is a regional sensitivity index for studying how much the output deviates from the original mean of model output when the distribution range of one input is reduced and to measure the contribution of different distribution ranges of each input to the variance of model output. In this paper, the revised mea...
متن کاملAfrican stock markets: multiple variance ratio tests of random walks
This paper identi®es four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take o . The hypothesis that a stock market price index follows a random walk is tested for South Africa, ®ve medium-sized markets (Egypt, Kenya, Morocco, Nigeria and Zimbabwe) and two small new...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Strategic Property Management
سال: 2015
ISSN: 1648-715X,1648-9179
DOI: 10.3846/1648715x.2015.1031854