The Information Content of the NCREIF Index
Year: 2009
Type: article
Abstract: This paper examines the dynamic behavior of the National Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the NAREIT index returns Granger cause the returns of the NCREIF indexes. In our ARCH information transmission analysis, the NCREIF indexes are observed to incorporate information spillover from the NAREIT indexes in both the mean and variance of the index returns. The ARCH dynamics between the NCREIF and NAREIT indexes suggest a nonlinear relation between the two indexes.
Source: Journal of Real Estate Research
Authors: Jinliang Li, Robert Mooradian, Shiawee Yang
Institutions: Tsinghua University, Northeastern University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1530995593