Lead-Lag Relationship Between the Real Estate Spot and Forward Contract Markets PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Lead-Lag Relationship Between the Real Estate Spot and Forward Contract Markets PDF full book. Access full book title Lead-Lag Relationship Between the Real Estate Spot and Forward Contract Markets by Edward Chung Yim Yiu. Download full books in PDF and EPUB format.

Lead-Lag Relationship Between the Real Estate Spot and Forward Contract Markets

Lead-Lag Relationship Between the Real Estate Spot and Forward Contract Markets PDF Author: Edward Chung Yim Yiu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Book Description
This study analyzes the lead-lag 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.
➤