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Efficiency and Seasonality in the UK Housing Market, 1991–2001

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  • Leslie Rosenthal

Abstract

This paper considers the informational efficiency of the UK owner‐occupied housing market over the period 1991–2001. Original small‐area, monthly, quality‐adjusted house price index series are developed from raw housing transaction observations for a number of UK counties and cities. These series are then tested in an autoregressive setting for characteristics indicative of weak market efficiency and seasonality. The major conclusion drawn is that there exists little evidence to support notions of inefficiency in these markets over the period considered.

Suggested Citation

  • Leslie Rosenthal, 2006. "Efficiency and Seasonality in the UK Housing Market, 1991–2001," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(3), pages 289-317, June.
    • Handle: RePEc:bla:obuest:v:68:y:2006:i:3:p:289-317
    DOI: 10.1111/j.1468-0084.2006.00163.x
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    Cited by:

    1. Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," ERES eres2009_155, European Real Estate Society (ERES).
    2. de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
    3. Hiebert, Paul & Sydow, Matthias, 2011. "What drives returns to euro area housing? Evidence from a dynamic dividend–discount model," Journal of Urban Economics, Elsevier, vol. 70(2), pages 88-98.
    4. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
    5. L. Rachel Ngai & Silvana Tenreyro, 2014. "Hot and Cold Seasons in the Housing Market," American Economic Review, American Economic Association, vol. 104(12), pages 3991-4026, December.
    6. Antonio F. Galvao JR. & Gabriel Montes-Rojas & Sung Y. Park, 2013. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 307-321, April.
    7. John Muellbauer & Gavin Cameron & John Muellbauer, 2006. "Was There A British House Price Bubble? Evidence from a Regional Panel," Economics Series Working Papers 276, University of Oxford, Department of Economics.
    8. Robert J. Hill & Alicia N. Rambaldi & Michael Scholz, 2021. "Higher frequency hedonic property price indices: a state-space approach," Empirical Economics, Springer, vol. 61(1), pages 417-441, July.
    9. Benoit Faye & Éric Le Fur, 2010. "L'étude du lien entre cycle et saisonnalité sur un marché immobilier résidentiel. Le cas de l'habitat ancien à Bordeaux," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(5), pages 937-965.
    10. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.
    11. Ham, Yun-Ju & Maddison, David J. & Elliott, Robert J.R., 2013. "The valuation of landfill disamenities in Birmingham," Ecological Economics, Elsevier, vol. 85(C), pages 116-129.
    12. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market," Journal of Asian Economics, Elsevier, vol. 64(C), pages 1-1.
    13. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
    14. repec:hum:wpaper:sfb649dp2015-041 is not listed on IDEAS
    15. Schulz, Rainer & Wersing, Martin, 2015. "Forecasting the oil price using house prices," SFB 649 Discussion Papers 2015-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    More about this item

    JEL classification:

    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General

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