Table 1
Mean |
Standard |
Jarque-Bera test |
Ljung-box test for | |
Variable |
(annualised %) |
deviation |
for normality |
auto-correlation |
(annualised %) |
(p-value) |
(p-value, 4 lags) | ||
apt_tbi |
7.5 |
8.9 |
.02 |
.00 |
apt_reit |
2.6 |
8.4 |
.00 |
.05 |
ind_tbi |
6.6 |
10.9 |
.00 |
.03 |
ind_reit |
3.0 |
12.5 |
.00 |
.07 |
of_tbi |
6.2 |
9.0 |
.07 |
.00 |
of_reit |
4.1 |
9.2 |
.00 |
.07 |
re_tbi |
7.0 |
8.9 |
.00 |
.01 |
re_reit |
2.4 |
9.3 |
.00 |
.07 |
Table 2 Contemporaneous quarterly correlations between the returns over 1994Q1-
2009Q4
apt_tbi |
apt_reit |
ind_tbi |
ind_reit |
of_tbi |
of_reit |
re_tbi |
re_reit | |
apt_tbi |
1.00 | |||||||
apt_reit |
.23 |
1.00 | ||||||
ind_tbi |
.27* |
.45** |
1.00 | |||||
ind_reit |
.36** |
.74** |
.24 |
1.00 | ||||
of_tbi |
.46** |
.19 |
.37** |
.29* |
1.00 | |||
of_reit |
.26* |
.88** |
.32** |
.80** |
.25* |
1.00 | ||
re_tbi |
.20 |
.07 |
.43** |
.14 |
.42** |
.10 |
1.00 | |
re reit |
.23 |
.84** |
.37** |
.85** |
.22 |
.83** |
.19 |
1.00 |
* and ** denote statistical significance at the 5% and 1% level, respectively.
Table 3 Granger causality test results for apartments
Explanatory variable
Δ tbi |
Δ reit |
INF |
ΔIR |
Δ S |
Δ SE |
ΔD |
Δ GDP |
Adj | ||
O Æ ð S Q S» |
Pairwise model | |||||||||
Δ apt_tbi Δ apt_reit |
.52 .98 |
.02 .03 |
.19 .36 | |||||||
Multiple variable model | ||||||||||
Δ apt_tbi |
.64 |
.04 |
.11 |
.58 |
.09 |
.68 |
.05 |
.74 |
.30 | |
Δ apt_reit |
.80 |
.20 |
.97 |
.98 |
.43 |
.38 |
.03 |
.29 |
.42 |
Descriptive statistics of sector level real estate returns over 1994Q1-2009Q4
The table shows the p-values in the tests. The null hypothesis is that of no Granger causality between the
variables. The models include one lag and one dummy variable that take the value one in a single period
(2008Q4) and is zero otherwise.
27