The Information Content of the NCREIF Index

Jinliang Li, Robert M. Mooradian () and Shiawee X. Yang ()
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Robert M. Mooradian: Northeastern University College of Business Administration, 360 Huntington Avenue, Boston, MA 02115
Shiawee X. Yang: Northeastern University College of Business Administration, 360 Huntington Avenue, Boston, MA 02115

Journal of Real Estate Research, 2009, vol. 31, issue 1, 93-116

Abstract: This 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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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Journal Article: The Information Content of the NCREIF Index (2009)
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