Frequency Space Correlation between REITs and Capital Market Indices

Peter Oppenheimer and Terry Grissom

Journal of Real Estate Research, 1998, vol. 16, issue 3, 291-310

Abstract: Several studies have examined real estate investment trust (REIT) co-movement with stocks or bonds using traditional time domain based methods, such as linear regression or correlation. Results of these studies have produced inconsistent statistical model parameters. The erratic behavior of the models may have resulted from the different time periods in the studies, the REITs included in a study or the market indices. Another factor contributing to the variation of the models comes from the compression of cyclical information over a study’s time period by time domain based techniques. Cross-spectral analysis provides a frequency space method of examining the coherency (i.e., frequency space correlation) between two time series across all frequencies. This article contains an examination of the coherency between REITs and stock market indices and REITs and U.S. Treasury debt indices for the period 1989-95. Results of the coherency spectra show significant co-movement between REITs and stock market indices, while debt instruments show very few frequencies with significant coherency. Furthermore, phase spectra provide evidence of contemporaneous movement between REITs and stock indices at all frequencies.

Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.1998.12090948 (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:rjerxx:v:16:y:1998:i:3:p:291-310

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjer20

DOI: 10.1080/10835547.1998.12090948

Access Statistics for this article

Journal of Real Estate Research is currently edited by William Hardin and Michael Seiler

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