Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/36376 
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dc.contributor.authorSchindler, Felixen
dc.date.accessioned2010-06-04-
dc.date.accessioned2010-07-07T13:29:17Z-
dc.date.available2010-07-07T13:29:17Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/36376-
dc.description.abstractThis paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests as well as both single variance and multiple variance ratio tests. Furthermore, non-parametric runs tests are conducted. Empirical evidence shows that the efficient market hypothesis in its weak form is not rejected by any statistical test for seven of the twelve analyzed emerging securitized real estate markets. This result is surprising since all four developed securitized real estate stock markets analyzed in this study do not follow a random walk. The results are confirmed by the analysis of excess returns following from technical trading rules.en
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x10-033en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordSecuritized real estate marketsen
dc.subject.keywordmarket efficiencyen
dc.subject.keywordrandom walk hypothesisen
dc.subject.keywordvariance ratio testsen
dc.subject.keywordruns testen
dc.subject.keywordtrading strategiesen
dc.subject.stwImmobilienmarkten
dc.subject.stwSecuritizationen
dc.subject.stwHypotheken
dc.subject.stwMarkteffizienzen
dc.subject.stwRandom Walken
dc.subject.stwStatistischer Testen
dc.subject.stwSchätzungen
dc.subject.stwAufstrebende Märkteen
dc.subject.stwSchwellenländeren
dc.titleMarket efficiency in the emerging securitized real estate markets-
dc.type|aWorking Paperen
dc.identifier.ppn627402313en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:10033en

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