REITs and S&P 500

We use weekly data from 10th October 2001 to 10th April 2019. Choice of the sample period is constrained on data availability for REIT data. The data are acquired from the Datastream, S&P 500 index is used to depict the stock market trend, the average of the S&P real estate sector index for the large, median and small firms (trustees) (REIT) are adopted to describe the overall real estate market process. After that, we calculate the weekly stock price return and REIT returns as , where are proxied by the weekly S&P 500 index and REIT, and represent the returns series. 917 observations are obtained.