Response speeds of direct and securitized real estate to shocks in the fundamentals



Table 7

Mean

Standard

Jarque-Bera test

Ljung-box test for

Sector

(annualised %)

deviation

for normality

auto-correlation

(annualised %)

(p-value)

(p-value, 4 lags)

Apartments

4.6

13.2

.01

.13

Industrial

2.8

15.0

.00

.03

Office

3.7

11.2

.57

.00

Retail

2.5

12.9

.06

.05

Descriptive statistics of sector level demand index movements over 1994Q1-
2009Q4


29



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