TITLE

ON THE DYNAMIC RELATIONSHIP AMONG MSCI, S&P 500 AND CASE-SHILLER HOUSING PRICE INDEX

AUTHOR(S)
Rafiq, Rafiqul Bhuyan; Robbani, Mohammad G.; Lillie, Richard E.; Hassan, Munir
PUB. DATE
September 2008
SOURCE
Review of Business Research;2008, Vol. 8 Issue 4, p210
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In this paper, we study the direct relationship or lead-lag relationship among three indices namely: MSCI REIT Index, the S&P 500 index, and the S&P/Case-Shiller Home Price Index. We find that the performance of S&P500 index influences the performance of the REIT index. Similarly, the correlation between housing price and the stock index is negative indicating that during the time when housing price decreases, stock prices go up. On the other hand, the relationship between MSCI and housing price is positive. Also, we find a high correlation between MSCI and S&P index. The results from the study can be used for taking positions in housing market and/or stock market.
ACCESSION #
35601385

 

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