Random Walks and Market Efficiency: Evidence from International Real Estate Markets    Authors: Robert T. Kleiman, James E. Payne and Anandi P. Sahu   Start Page: 279 End Page: 298 Volume: 24 Issue Number: 03 Year: 2002 Publication: Journal of Real Estate Research   Abstract: This study performs tests of the random walk hypothesis for international commercial real estate markets utilizing stock market indices of real estate share prices for three geographical regions: Europe, Asia and North America. The augmented Dickey-Fuller and Phillips-Perron unit root tests and Cochrane variance ratio test find that each of these markets (as well as associated broader stock markets) exhibits random walk behavior. Moreover, a non-parametric runs test provides support for weak-form market efficiency in the real estate markets. In addition, Johansen-Juselius co-integration analysis reveals that all three markets appear co-integrated and share a common long-run stochastic trend. Results of co-integration analyses and vector error correction models suggest that diversification benefits through international real estate securities can only be achieved in the short run.