Abstract:
In the pure time-series sense, weak-form of efficiency of the housing market would imply
unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing
market returns of the United States, we test whether housing market returns are white noise
using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic
evolution of housing market efficiency and find that the white noise hypothesis is accepted in
most windows associated with non-crisis periods. However, for some periods before the burst
of the housing market bubbles, and during the subprime mortgage crisis, European sovereign
debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing
market is inefficient in periods of turbulence. Our results have important implications for
economic agents.
