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| Frequency Space Correlation Between
REITs and Capital Market Indices Author: Peter Oppenheimer and Terry V. Grissom Start Page: 291 Abstract: Several studies have
examined real estate investment trust (REIT) co-movement with stocks or bonds using
traditional time domain based methods, such as linear regression or correlation. Results
of these studies have produced inconsistent statistical model parameters. The erratic
behavior of the models may have resulted from the different time periods in the studies,
the REITs included in a study or the market indices. Another factor contributing to the
variation of the models comes from the compression of cyclical information over a study?s
time period by time domain based techniques. Cross-spectral analysis provides a frequency
space method of examining the coherency (i.e., frequency space correlation) between two
time series across all frequencies. This article contains an examination of the coherency
between REITs and stock market indices and REITs and U.S. Treasury debt indices for the
period 1989?95. Results of the coherency spectra show significant co-movement between
REITs and stock market indices, while debt instruments show very few frequencies with
significant coherency. Furthermore, phase spectra provide evidence of contemporaneous
movement between REITs and stock indices at all frequencies. |
