Momentum and mean reversion in regional housing markets: evidence from variance ratio tests
Momentum and mean reversion in regional housing markets: evidence from variance ratio tests
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Vilnius: Vilnius Gediminas Technical University
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Language
English
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Vilnius: Vilnius Gediminas Technical University
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Contents
We study the persistence and reversion patterns of housing price growth by computing variance ratios applying Kim's (2006) Wild bootstrapping and using finnish data for the period 1987–2010. The momentum effect in housing price growth is found to be long-lasting and substantially greater in size than the eventual reversion. The results indicate tha...
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Full title
Momentum and mean reversion in regional housing markets: evidence from variance ratio tests
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TN_cdi_vilnius_journals_article_2122
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_vilnius_journals_article_2122
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ISSN
1648-715X
E-ISSN
1648-9179
DOI
10.3846/1648715X.2015.1031854
