首页    期刊浏览 2024年10月06日 星期日
登录注册

文章基本信息

  • 标题:A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices
  • 本地全文:下载
  • 作者:Authors: Jorge Belaire-Franch ; Stanley McGreal ; Kwaku K. Opong
  • 期刊名称:International Real Estate Review
  • 印刷版ISSN:1029-6131
  • 出版年度:2007
  • 卷号:10
  • 期号:2
  • 页码:94-112
  • 出版社:Asian Real Estate Society, Global Chinese Real Estate Congress
  • 摘要:

    This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance-ratio test, to examine the behavior of United Kingdom real estate and construction security indices. The results suggest a positive dependence in the index return series and provide a strong rejection of the random walk hypothesis for the two U.K. index series examined in this study. Thus, the efficient market hypothesis (EMH) is not confirmed for these real estate securities indices in the U.K.

国家哲学社会科学文献中心版权所有