A note on the effects of serial cross correlation

Gerald R. Brown

Journal of Property Research, 2001, vol. 18, issue 3, 249-257

Abstract: Given a large sample of properties with time series returns extending over a number of periods it can be shown that the average cross correlation coefficient between the properties increases with the reporting interval. This paper offers an explanation for why this phenomenon exists and shows that, in addition to the contemporaneous cross correlation, the impact of serial cross correlation plays an important role. By contrast, smoothing has little impact. It is further shown that at the portfolio level the distribution of cross correlation coefficients is positively skewed for monthly returns. As the reporting interval increases the distribution becomes more normal. This has important implications at two levels. First, behavioural effects are likely to be more pervasive at the monthly level so that a large proportion of monthly valued properties will exhibit high serial cross correlation. Second, high serial cross correlation will induce high serial correlation in an index of returns. As the reporting interval increases this effect diminishes

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/09599910110060046 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jpropr:v:18:y:2001:i:3:p:249-257

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599910110060046

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().