Rafiq, Rafiqul Bhuyan; Robbani, Mohammad G.; Lillie, Richard E.; Hassan, Munir
September 2008
Review of Business Research;2008, Vol. 8 Issue 4, p210
Academic Journal
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.


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