Vad påverkar OMX Real Estate -Substansvärde eller OMXS30?

Sammanfattning: The question in the study is to what extent the Swedish Real estate sector index acts as a follower of larger and broader stock indexes, and to what extent the index follows the asset values owned by the real estate companies in the asset market? The study is interesting for those trying to understand the development of share values in the Swedish real estate market as well as for those interesting in the “efficient market hypothesis”. The study makes an econometric analysis of the relationship between OMXS30, OMXS Real Estate PI, and the asset value of properties owned by Swedish real estate companies. Indexes are compared with Vector Autoregression (VAR) lag models, tested for dependence of GDP, the repo rent, and inflation. A Granger causality test is also performed. Despite discussed problems with reliability of some tests, the study finds that OMXS30 Granger cause OMX Real Estate PI. The study also finds that, during the period studied, OMXS30 and OMX Real Estate PI develop differently in the initial period but later form a similar path of performance. The asset values of the companies in the real estate market are more strongly correlated with OMXS30 than with their own sector index, OMXS Real Estate PI. No significant effects are found from GDP, the repo rent or inflation on OMXS30 or OMXS Real Estate PI. This may be seen as surprising but follows results from earlier studies.