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Article: Lead-lag relationship between the real estate spot and forward contracts markets

TitleLead-lag relationship between the real estate spot and forward contracts markets
Authors
Yiu, CYHui, ECMWong, SK
Issue Date2005
PublisherAmerican Real Estate Society. The Journal's web site is located at http://www.aresnet.org/ARES/pubs/jrepm/JREPM.html
Citation
Journal Of Real Estate Portfolio Management, 2005, v. 11 n. 3, p. 253-262 How to Cite?
AbstractThis study analyzes the lead-lag by relationship between the spot and forward returns on direct real estate investments. Based on the forward price index (for which the term to maturity is zero) and the expost spot price index of residential property in Hong Kong, changes in information flow between the spot and forward markets are tested to see how they affect the lead-lag relationship. The findings suggest that (1) during periods of low-volume ratios (i.e., the forward market is relatively less active than the spot market), the spot return Granger causes the returns of forward contracts; and (2) during periods of higher-volume ratios, there are feedback relationships between the two markets.
Persistent Identifierhttp://hdl.handle.net/10722/81702
ISSN
1083-5547
2020 SCImago Journal Rankings: 0.239
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYiu, CYen_HK
dc.contributor.authorHui, ECMen_HK
dc.contributor.authorWong, SKen_HK
dc.date.accessioned2010-09-06T08:21:02Z-
dc.date.available2010-09-06T08:21:02Z-
dc.date.issued2005en_HK
dc.identifier.citationJournal Of Real Estate Portfolio Management, 2005, v. 11 n. 3, p. 253-262en_HK
dc.identifier.issn1083-5547en_HK
dc.identifier.urihttp://hdl.handle.net/10722/81702-
dc.description.abstractThis study analyzes the lead-lag by relationship between the spot and forward returns on direct real estate investments. Based on the forward price index (for which the term to maturity is zero) and the expost spot price index of residential property in Hong Kong, changes in information flow between the spot and forward markets are tested to see how they affect the lead-lag relationship. The findings suggest that (1) during periods of low-volume ratios (i.e., the forward market is relatively less active than the spot market), the spot return Granger causes the returns of forward contracts; and (2) during periods of higher-volume ratios, there are feedback relationships between the two markets.en_HK
dc.languageengen_HK
dc.publisherAmerican Real Estate Society. The Journal's web site is located at http://www.aresnet.org/ARES/pubs/jrepm/JREPM.htmlen_HK
dc.relation.ispartofJournal of Real Estate Portfolio Managementen_HK
dc.titleLead-lag relationship between the real estate spot and forward contracts marketsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1083-5547&volume=11&issue=3&spage=253&epage=262&date=2005&atitle=Lead-lag+Relationship+Between+The+Real+Estate+Spot+And+Forward+Contracts+Marketsen_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.identifier.authorityWong, SK=rp01028en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-27744460026en_HK
dc.identifier.hkuros118632en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-27744460026&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume11en_HK
dc.identifier.issue3en_HK
dc.identifier.spage253en_HK
dc.identifier.epage262en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK
dc.identifier.scopusauthoridHui, ECM=7005081892en_HK
dc.identifier.scopusauthoridWong, SK=7404591021en_HK
dc.identifier.issnl1083-5547-

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