臺灣博碩士論文加值系統

This paper examines the properties for investments in several asset types (stock, bond and REIT). We employ cointegration methodology in four Asia-Pacific countries to proceed our research. In Hong Kong, Japan and Singapore markets, we don’t find any long run relationship. In Australia markets, however, we discover one cointegration vector between stock, bond and REIT market. It implies risk diversification ability cross different asset type in Australia is somewhat limited. We also employ Granger causality test and impulse response analysis to investigate the cause-and-effect relationships and the system dynamic.

1. Introduction 1
2. Literature Review 5
2.1. A review of Application in Cointegration methodology 5
2.2. A review of studies about relationship of multi-assets 7
3. Data and Methodology 8
3.1. Data description 8
3.2. Econometric Methodology 9
3.2.1. Unit root test 9
3.2.2. Cointegration test 10
3.2.3. Granger causality test 13
3.2.4. Impulse response analysis 14
4. Empirical results 15
4.1. Unit root result 15
4.2. Cointegration result 16
4.3. Granger causality result 18
4.4. Impulse response result 19
5. Conclusion 20
Reference 21
Appendix 24
Table 1. Price Index of each market 24
Table 2. Unit root test for each market index (Level) 25
Table 3. Unit root test for each market index (First Differenced) 26
Table 4. VAR Lag Order Selection Criteria 27
Table 5. Test for the number of cointegrating vectors 28
Table 6. Cointegrating Vector 28
Table 7. Granger causality test results 29
Figure 1. Impulse response analysis for Australia 30
Figure 2. Impulse response analysis for Hong Kong 31
Figure 3. Impulse response analysis for Japan 32
Figure 4. Impulse response analysis for Singapore 33

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