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Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10003881575

Testing Random Walk Hypothesis : An Empirical Analysis of National Stock Exchange Indices

Singh, Gurmeet - 2017

differences are found stationery. The result of autocorrelation test finds evidence of statistical dependence in the returns …

Persistent link: https://www.econbiz.de/10012955131

World currency options market efficieny

Hoque, Ariful - In: Banks and bank systems : international research journal 5 (2010) 2, pp. 173-178

Persistent link: https://www.econbiz.de/10008654706

Non-linearities in the dynamics of oil prices

Kisswani, Khalid M.; Nusair, Salah - In: Energy economics 36 (2013), pp. 341-353

Persistent link: https://www.econbiz.de/10009724688

Random walks and market efficiency tests : evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Dias, Rui; Teixeira, Nuno Miguel; Machova, Veronika; … - In: Oeconomia Copernicana 11 (2020) 4, pp. 585-608

Persistent link: https://www.econbiz.de/10012436533

Market efficiency in emerging markets : does the legal system matter?

Cotei, Carmen; Farhat, Joseph; Abugri, Benjamin Adam - In: The global journal of finance and economics 6 (2009) 2, pp. 145-160

Persistent link: https://www.econbiz.de/10003948188

Random Walks and Market Efficiency : Evidence from International Real Estate

Kleiman, Robert T.; Payne, James E.; Sahu, Anandi - 2007

This study performs tests of the random walk hypothesis for international commercial real estate markets utilizing stock market indices of real estate share prices for three geographical regions: Europe, Asia and North America. The augmented Dickey-Fuller and Phillips-Perron unit root tests and...

Persistent link: https://www.econbiz.de/10014050593

A note on cointegration of international stock market indices

Dimpfl, Thomas - In: International review of financial analysis 33 (2014), pp. 10-16

Persistent link: https://www.econbiz.de/10010520092

Random walks, cointegration, and the transmission of shocks across global real estate and equity markets

Payne, James E.; Sahu, Anandi Prasad - In: Journal of economics and finance 28 (2004) 2, pp. 198-210

Persistent link: https://www.econbiz.de/10002417663

Does the financial crisis influence the random walk behaviour of international stock markets?

Auer, Benjamin R.; Schuster, Martin - In: Applied economics letters 18 (2011) 4/6, pp. 319-323

Persistent link: https://www.econbiz.de/10009233021

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