Analysis of the inter-relationship between listed real estate share index and stock and bond market

HanSuck Song, Mats Wilhelmsson, Svante Mandell and Abukar Warsame

ERES from European Real Estate Society (ERES)

Abstract: Securitized real estate shares constitute an important investment vehicle for institutional investors and households. Investors both hold real estate shares directly or indirectly through for instance real estate mutual funds as well as real estate ETFs. Therefore it is interesting to study the inter-relationship between listed property share indexes and other major stock and bond market sector indexes. We apply different econometrics methods and models on daily data from the Stockholm Stock Exchange, to study the interaction between daily return figures for listed real estate share index series, and other major stock and bond market sector indexes. We find evidence that some stock and bond market sector indexes are especially inter-related with the real estate stock market index.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2011-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2011_145

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