Please use this identifier to cite or link to this item:
Title: Lead-lag relationship between the real estate spot and forward contracts markets
Authors: Yiu, CY
Hui, ECM 
Wong, SK
Issue Date: 2005
Source: Journal of real estate portfolio management, 2005, v. 11, no. 3, p. 253-262 How to cite?
Journal: Journal of Real Estate Portfolio Management 
Abstract: This 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.
ISSN: 1083-5547
Appears in Collections:Journal/Magazine Article

View full-text via PolyU eLinks SFX Query
Show full item record


Last Week
Last month
Citations as of Aug 14, 2018

Page view(s)

Last Week
Last month
Citations as of Aug 12, 2018

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.