The Information Content of the NCREIF Index

24 Pages Posted: 15 Oct 2009

See all articles by Jinliang Li

Jinliang Li

Tsinghua University - School of Economics & Management

Robert M. Mooradian

Northeastern University, D’Amore-McKim School of Business, Finance Area

Shiawee X. Yang

Northeastern University - Finance and Insurance Area

Date Written: October 14, 2009

Abstract

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.

Keywords: NCREIF, NAREIT

Suggested Citation

Li, Jinliang and Mooradian, Robert M. and Yang, Shiawee X., The Information Content of the NCREIF Index (October 14, 2009). Journal of Real Estate Research, Vol. 31, No. 1, 2009, Available at SSRN: https://ssrn.com/abstract=1488999

Jinliang Li (Contact Author)

Tsinghua University - School of Economics & Management ( email )

Beijing, 100084
China

Robert M. Mooradian

Northeastern University, D’Amore-McKim School of Business, Finance Area ( email )

Boston, MA 02115
United States
617-373-5955 (Phone)
617-373-8798 (Fax)

Shiawee X. Yang

Northeastern University - Finance and Insurance Area ( email )

Boston, MA 02115
United States

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