Location of Repository

Market efficiency in the emerging securitized real estate markets

By Felix Schindler


This 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. --Securitized real estate markets,market efficiency,random walk hypothesis,variance ratio tests,runs test,trading strategies

OAI identifier:

Suggested articles



  1. (2007). A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices, International Real Estate Review
  2. (1993). A Simple Multiple Variance Ratio Test,
  3. (1971). A Table of Percentage Points of the Distribution of Large Absolute Value of k Student t Variates and its Applications,
  4. (2000). A Variance Ratio Test of the Random Walk Hypothesis for Taiwan’s Stock Market,
  5. (1991). A Variance-Ratio Test of Random Walks in Foreign Exchange Rates,
  6. (2002). African Stock Markets: Multiple Variance Ratio Tests of Random Walks,
  7. (2009). Are Securitized Real Estate Returns more Predictable than Stock Returns?,
  8. (1978). Asset Prices in an Exchange Economy,
  9. (1970). Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models,
  10. (1979). Distribution of the Estimators for Autoregressive Time-Series with a Unit Root,
  11. (1995). Do Asian Stock Market Prices Follow Random Walks? Evidence from the Variance Ratio Test,
  12. (1986). Does the Stock Market Rationally Reflect Fundamental Values?,
  13. (1989). Drawing Inferences from Statistics based on Multiyear Asset Returns,
  14. (1992). Efficiency and Inefficiency in Thinly Traded Stock Markets: Kuwait and Saudi Arabia,
  15. (2005). Efficiency in the Market for REITs: Further Evidence,
  16. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work,
  17. (1991). Efficient Capital Markets: II,
  18. (1980). Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals,
  19. (2002). Korean Stock Prices under Price Limits: Variance Ratio Tests of Random Walks,
  20. (2002). Momentum Effects and Mean Reversion in Real Estate Securities,
  21. (1996). On the Correct Omnibus Tests for Normality,
  22. (1988). Permanent and Temporary Components of Stock Market Prices,
  23. (1995). Price Reversal, Transaction Costs, and Arbitrage Profits in the Real Estate Securities Market,
  24. (2002). Random Walk and Market Efficiency: Evidence from International Real Estate Markets,
  25. (1999). Random Walk Tests for Latin American Equity Indexes and Individual Firms,
  26. (1999). RandomWalk and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit,
  27. (1997). Serial Persistence in Equity REIT Returns,
  28. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,
  29. (1994). Some Stylised Facts about the Jamaica Stock Market,
  30. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test,
  31. (1986). Stock Return Variances – The Arrival of Information and the Reaction of Traders,
  32. (1979). Tables of the Studentized Maximum Modulus Distribution and an Application to Multiple Comparisons among Means,
  33. (2002). Testing the Random Walk Behavior and
  34. (1995). Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets,
  35. (1965). The Behavior of Stock Market Price,
  36. (1997). The Econometrics of Financial Markets,
  37. (2000). The Efficiency of Equity REIT Prices,
  38. (1998). The Predictability of Equity REIT Returns,
  39. (1989). The Size and Power of the Variance Ratio Test in Finite Samples,
  40. (1996). The Substitutability of Real Estate Assets,
  41. (2009). The Weak-Form Efficiency of Chinese Stock Markets: Thin Trading, Nonlinearity and Episodic Serial Dependencies,
  42. (1986). Thin Trading and Stock Market Efficiency: The Case of the Kuala Lumpur Stock Exchange,
  43. (1986). Weak Form Efficiency in the Kuala Lumpur and Singapore Stock Markets,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.