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Cyclical relationship between commercial real estate and property stock prices

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  • Gerald Brown
  • Kim Hiang Liow

Abstract

This study contains an examination of the cyclical characteristics of Singapore commercial real estate and property stock prices and their frequency space correlation for the period 1975–1998. The approach taken is univariate spectral analysis and cross-spectral analysis. Results of the individual spectral indicate that the prices for the commercial real estate and property stock exhibit cyclical patterns. The full cycle is approximately eight years for both markets. Evidence from the coherency and cross-amplitude spectra suggests significant price comovement between the two markets in the long run. In addition, the phase estimates of the series imply a property stock lead of up to 1–3 quarters in the short run. However, this lead time eventually disappears in the long run.

Suggested Citation

  • Gerald Brown & Kim Hiang Liow, 2001. "Cyclical relationship between commercial real estate and property stock prices," Journal of Property Research, Taylor & Francis Journals, vol. 18(4), pages 309-320.
    • Handle: RePEc:taf:jpropr:v:18:y:2001:i:4:p:309-320
    DOI: 10.1080/09599910110079622
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    Cited by:

    1. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.

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