Abstract
This study contains an examination of the cyclical characteristics of Singapore commercial real estate and property stock prices and their frequency space correlation for the period 1975–1998. The approach taken is univariate spectral analysis and cross-spectral analysis. Results of the individual spectral indicate that the prices for the commercial real estate and property stock exhibit cyclical patterns. The full cycle is approximately eight years for both markets. Evidence from the coherency and cross-amplitude spectra suggests significant price comovement between the two markets in the long run. In addition, the phase estimates of the series imply a property stock lead of up to 1–3 quarters in the short run. However, this lead time eventually disappears in the long run.
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