Authors: C. Y. Yiu, E. C. M. Hui and S. K. Wong

Start Page: 253
End Page: 262
Volume: 11
Issue Number: 3
Year: 2005
Publication: Journal of Real Estate Portfolio Management

Abstract: 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 expost 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.