Please use this identifier to cite or link to this item:
|Title:||Cyclical relationship between commercial real estate and property stock prices||Authors:||Brown, G.
|Keywords:||Commercial real estate
Frequency space correlation
|Issue Date:||2001||Citation:||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|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.