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The time series analysis of the excess return of J-REIT
-Investigation using weekly and monthly data from September 2001 to October 2004-

summary

We investigate contemporaneous and intertemporal relationship among excess returns of J-REIT and other financial assets, such as stocks and bonds, by using weekly and monthly data from September 2001 to October 2004. From the weekly data, we find that the relation among excess returns of J-REIT and other assets have changed dramatically over time. For example, in the first year after the opening of J-REIT market, the excess returns of small size stocks and bonds are significantly related to that of J-REIT in the same week, but that relation becomes insignificant after the second year. Also, in the second year after the opening, the excess returns of bonds and utility stocks affect strongly that of J-REIT in the next week, but there is no such effect in the first and third year. From the monthly data, we find that the excess returns of bonds and utility stocks are significantly related to that of J-REIT in the same month. However, no intertemporal relation can be found so that the effect of the excess returns of stocks and bonds to that of J-REIT does not persist over month. In all analysis above, the variation of the excess returns of stocks and bonds cannot explain the large portion of that of J-REIT excess return. In this sense, the excess return of J-REIT has significant component independent of those of other assets. To analyze such specific component of the J-REIT variation, we also investigate the effect of the excess return of real estate prices and vacancy rates, but cannot find any significant relationship with that of J-REIT. Investigation of the variation specific to J-REIT is an important future research topic.


issue

Reports No.53/2005 Oct.

stocks

in stock(weight:190g thickness:4mm)
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