Price and volatility persistence of the US REITs market

Future Business Journal

Table 9 Semiparametric estimates of d for the pre- and post-crisis periods (logged series)

w		T^0.4	T^0.45	T^0.5	T^0.55	T^0.6	T^0.65	T^0.7	T^0.75	T^0.76	T^0.79
Price index	Pre-crisis	1.0105	1.0205	1.0347	1.0338	1.0358	1.0607	1.0372	1.0724	1.0724	1.1728
	Crisis	1.0483	1.1012	1.1511	1.2132	1.6642	1.5299	1.3477	1.0609	0.7039	0.7039
	Post-crisis	1.0052	0.9976	1.0189	1.0398	1.0505	1.0906	1.1242	1.1608	1.1240	1.0657
Market index	Pre-crisis	1.0141	1.0117	1.0205	1.0141	1.0292	1.0753	1.1004	1.1059	0.9897	1.1051
	Crisis	1.0532	1.1093	1.1592	1.2244	1.6642	1.5676	1.3777	1.0672	0.7033	0.7033
	Post-crisis	1.0080	1.0023	1.0185	1.0353	1.0412	1.0843	1.1172	1.1522	1.2197	1.0500

w and T are the bandwidth number and the total number of observations, respectively. For pre-crisis period, values in bold are those cases where the d estimates are not significantly different from 1, while for post-crisis period, values in bold are those cases where the d estimates are significantly higher than 1