The Information Content of the NCREIF Index
AbstractThis paper examines the dynamic behavior of the NCREIF index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroskedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the NAREIT index returns Granger cause the returns of the NCREIF indexes. In our ARCH information transmission analysis, the NCREIF indexes are observed to incorporate information spillover from the NAREIT indexes in both the mean and variance of the index returns. The ARCH dynamics between the NCREIF and NAREIT indexes suggest a nonlinear relation between the two indexes.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal journal of Real Estate Research.
Volume (Year): 31 (2009)
Issue (Month): 1 ()
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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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