Purpose

The purpose of this study to evaluate the evolving market efficiency of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis taking a case of India.

Design/methodology/approach

The study used a wild bootstrap version of the generalized spectral (GS) test in the rolling window framework to measure possible time-varying linear and non-linear dependence in the housing market.

Findings

The study finds that the Indian housing market, in general, is not efficient, and this efficiency is dynamic, which changes with time lending support to the adaptive market hypothesis. The study confirms that the evolutionary model of individuals adapting to a changing environment via behavioural biases affects the efficiency of the housing market, which leads to the evolving efficiency of the housing market prices.

Research limitations/implications

The study believes that the potential implications go beyond evolutionary forces and the adaptive market hypothesis , which, does not only depend on an individual's decision-making process but also on social psychology. Thus, a further attempt in this line, taking into account the social psychology and quantitative rigour towards drivers of evolving efficiency is suggested for future research.

Practical implications

The study suggests that there is a possibility of extra returns for market players, but not always. The Indian housing market has witnessed several landmark reforms in recent years, so it is believed that these reforms would decrease the inefficiency level of this market. Contrary to this, the study’s findings reveal an increase in the inefficiency level in recent years. As the Indian housing market shows evolving efficiency, it is believed that the increased inefficiency is temporary. The increased inefficiency can be regarded as the settlement stage of the various policy and technical reforms.

Originality/value

Confirming the presence or absence of adaptive efficiency in the housing market under possible non-linear dependence will be a significant addition to the existing literature.

中文翻译：

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适应性市场假说和鞅差假说框架下的房地产市场演化——以印度为例

目的

本研究的目的是以印度为例，在适应性市场假说和鞅差假说框架下评估房地产市场的市场效率演变。

设计/方法/方法

该研究在滚动窗口框架中使用了广义光谱 (GS) 测试的狂野引导版本，以测量房地产市场中可能随时间变化的线性和非线性相关性。

发现

研究发现，印度房地产市场总体上是不高效的，而且这种效率是动态的，随着时间的推移而变化，从而为适应性市场假说提供支持。研究证实，个体通过行为偏见适应不断变化的环境的进化模型会影响住房市场的效率，从而导致住房市场价格的效率演变。

研究限制/影响

该研究认为，潜在影响超越了进化力量和适应性市场假设，后者不仅取决于个人的决策过程，还取决于社会心理。因此，在这方面的进一步尝试，考虑到社会心理学和对不断发展的效率驱动因素的定量严谨性，建议用于未来的研究。

实际影响

该研究表明，市场参与者有可能获得额外回报，但并非总是如此。印度房地产市场近年来经历了几次具有里程碑意义的改革，因此相信这些改革将降低该市场的低效率水平。与此相反，该研究的结果显示近年来效率低下的程度有所增加。随着印度房地产市场显示出不断发展的效率，人们认为增加的低效率是暂时的。效率的增加可以看作是各项政策和技术改革的落脚点。

原创性/价值

在可能的非线性依赖下确认住房市场是否存在适应性效率将是对现有文献的重要补充。