Lead-lag relationship between the real estate spot and forward contracts markets

C. Y. Yiu, Chi Man Hui, S. K. Wong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

15 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)253-262
Number of pages10
JournalJournal of Real Estate Portfolio Management
Volume11
Issue number3
Publication statusPublished - 1 Sep 2005

ASJC Scopus subject areas

  • Management Information Systems
  • Economics, Econometrics and Finance (miscellaneous)

Cite this