Abstract
This paper examines the dynamic behavior of the NationalCouncil of Real Estate Investment Fiduciaries (NCREIF) index.NCREIF total return and appreciation indexes are smoothand exhibit strong autocorrelation and autoregressiveheteroscedasticity. We test the information transmission from theNAREIT index to the NCREIF index. In our VAR analysis, theNAREIT index returns Granger cause the returns of the NCREIFindexes. In our ARCH information transmission analysis, theNCREIF indexes are observed to incorporate informationspillover from the NAREIT indexes in both the mean andvariance of the index returns. The ARCH dynamics between theNCREIF and NAREIT indexes suggest a nonlinear relationbetween the two indexes.
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