An Empirical Study on The Relationship Between American Real Estate Stock Price And Real Estate Stock Market

@font-face{ font-family:"Times New Roman"; }@font-face{ font-family:"宋体"; }@font-face{ font-family:"SimSun"; }@font-face{ font-family:"SimSun"; }@font-face{ font-family:"Calibri"; }@font-face{ font-family:"Arial"; }p.MsoNormal{ mso-style-name:Normal; mso-style-parent:""; margin-bottom:8.0000pt; mso-hyphenate:none; line-height:107%; font-family:'Times New Roman'; mso-fareast-font-family:SimSun; mso-bidi-font-family:SimSun; font-size:12.0000pt; }p.MsoFooter{ mso-style-name:Footer; mso-style-noshow:yes; margin-bottom:0.0000pt; mso-hyphenate:none; font-family:'Times New Roman'; mso-fareast-font-family:SimSun; mso-bidi-font-family:SimSun; font-size:12.0000pt; }span.msoIns{ mso-style-type:export-only; mso-style-name:""; text-decoration:underline; text-underline:single; color:blue; }span.msoDel{ mso-style-type:export-only; mso-style-name:""; text-decoration:line-through; color:red; }div.Section0{page:Section0;}The research examined the relationship between real estate stock prices and the overall real estate stock market in the U.S with specific objectives to: capture the relationship between the real estate stock prices and the overall real estate market in the U.S as they change over time; and measures the expected move in the real estate stock prices relative to movements in the overall real estate market in the U.S. Using Vector Autoregression Model (VAR), it was concluded that the stock prices of EQUINIX, HASI, INNOVATIVE does not have any significant impact on NAREIT composite index. Granger Causality Test was adopted to justify the findings from VAR and results from Granger Causality Test concluded that out of the four (4) selected variables, only EQUINIX and NAREIT causes each other with a p-value below 0.05 respectively. The study recommended to future researchers to adopt other composite indices such as Dow-Jones-Composite-All-REIT and the S&P/Case-Shiller U.S. National Home Price Index could be used REITs composite index examine the relationship between real estate stock prices and the overall real estate stock market in the U.S.