Eres : Digital Library : Works

Paper eres2011_145:
Analysis of the inter-relationship between listed real estate share index and stock and bond market

id eres2011_145
authors Song, HanSuck; Wilhelmsson, Mats; Mandell, Svante; Warsame, Abukar
year 2011
title Analysis of the inter-relationship between listed real estate share index and stock and bond market
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary Securitized real estate shares constitute an important investment vehicle for institutional investors and households. Investors both hold real estate shares directly or indirectly through for instance real estate mutual funds as well as real estate ETFs. Therefore it is interesting to study the inter-relationship between listed property share indexes and other major stock and bond market sector indexes. We apply different econometrics methods and models on daily data from the Stockholm Stock Exchange, to study the interaction between daily return figures for listed real estate share index series, and other major stock and bond market sector indexes. We find evidence that some stock and bond market sector indexes are especially inter-related with the real estate stock market index.
keywords listed real estate, equity sector index, stock market, bond market
series ERES:conference
email hansuck.song@gmail.com
content file.pptx (306,338 bytes)
discussion No discussions. Post discussion ...
ratings
session C1: Finance and Investment (III), Performance and Risk Management
last changed 2011/06/23 16:27
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