The Information Content of the NCREIF Index

Jinliang Li · Robert M. Mooradian · Shiawee X. Yang

42 citations0/0 files storedJournal of Real Estate Research

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Housing Market and Economics

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.

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References

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