Please use this identifier to cite or link to this item: https://doi.org/10.1080/09599910110079622
Title: Cyclical relationship between commercial real estate and property stock prices
Authors: Brown, G. 
Liow, K.H. 
Keywords: Commercial real estate
Cross-spectral analysis
Frequency space correlation
Property stocks
Singapore
Issue Date: 2001
Source: Brown, G.,Liow, K.H. (2001). Cyclical relationship between commercial real estate and property stock prices. Journal of Property Research 18 (4) : 309-320. ScholarBank@NUS Repository. https://doi.org/10.1080/09599910110079622
Abstract: This study contains an examination of the cyclical characteristics of Singapore commercial real estate and property stock prices and their frequency space correlation for the period 1975-1998. The approach taken is univariate spectral analysis and cross-spectral analysis. Results of the individual spectral indicate that the prices for the commercial real estate and property stock exhibit cyclical patterns. The full cycle is approximately eight years for both markets. Evidence from the coherency and cross-amplitude spectra suggests significant price comovement between the two markets in the long run. In addition, the phase estimates of the series imply a property stock lead of up to 1-3 quarters in the short run. However, this lead time eventually disappears in the long run.
Source Title: Journal of Property Research
URI: http://scholarbank.nus.edu.sg/handle/10635/46113
ISSN: 09599916
DOI: 10.1080/09599910110079622
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