Efficiency and Seasonality in the UK Housing Market, 1991–2001*
利用1991-2001年英国多个郡和城市的月度房价数据，构建质量调整后的房价指数，通过自回归模型检验市场弱式效率和季节性，发现几乎没有证据表明市场存在低效率。
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.