Development of Empirical Correlations between Wilshire US REIT Index and Dow Jones Industrial Average Index and Different Interest Rate Swaps

Abstract: 

REITs (Real Estate Investment Trusts) have gained significant popularity among the financial investors in the recent years. The investors do not have access to any model that correlates Wilshire US REIT Index with Dow Jones Industrial Average and different interest rate swaps. The researcher has developed empirical correlations between Wilshire US REIT Index and Dow Jones Average and swap rates of different durations. The null hypothesis that no correlation exists between natural logarithms of Wilshire US REIT Index and natural logarithms of Dow Jones Industrial Average Index has been tested. The researcher has also tested the null hypotheses that no correlation exists between natural logarithms of Wilshire US REIT Index and interest rate swaps of different durations. The period used in this study is from March 10, 2005, to March 10, 2015. The findings from this study indicate that the null hypothesis that no correlation exists between natural logarithm of US REIT Index and Dow Jones Industrial Average Index can be rejected. Further, the null hypotheses that no correlation exists between natural logarithms of US REIT Index and 1-year, 2-year, 3-year and 30-year interest rate swaps can also be rejected.

This publication has been peer reviewed.
Publication Type: 
Journal Article
Authors: 
Subhashis Nandy
Year of Publication: 
2015
Journal, Book, Magazine or Other Publication Title: 
International Journal of Business and Management
Volume: 
10
Issue: 
8
Pages: 
39-45
Publisher: 
Canadian Center of Science and Education
Date Published: 
Wednesday, July 22, 2015
Publication Language: 
English
ISSN Number: 
18333850
DOI: 
10.5539/ijbm.v10n8p39
Boyer's Domain: 

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