2005•Journal of Real Estate Portfolio ManagementRequires access

Lead-Lag Relationship between the Real Estate Spot and Forward Contracts Markets

Chung Yim Yiu, Eddie C.M. Hui, Siu Kei Wong

Abstract

Executive Summary. This study analyzes the lead-lag 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 ex-post 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.

About this research paper

What this paper is about

Why it matters

OpenAlex reports 30 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Spot contract, Real estate, Spot market, Lead–lag compensator, Economics, Lag, Forward rate, Index (typography)