臺灣博碩士論文加值系統

不動產投資信託(T-REITs)商品常被視為一般股票、債券之外替代的重要投資工具，台灣於2005 年推出首檔不動產投資，此市場的發展在台灣尚屬於萌芽階段。本研究擬探討台灣已上市的 T-REITs 股價指數、各金融總體經濟變數間之關聯性分析，採用的變數包括匯率、利率、股價。為分析金融變數與 T-REITs 間之互動關係，擬運用未考慮結構轉變和考慮結構轉變的共整合(Cointegation)方法來探討。文中將先以傳統單根檢定以及考慮結構轉變的 Zivot and Andrews(1992) 、 Lee and Strazicich (2003) 單根檢定來判定時間序列是否恆定以及是否存在結構轉變。其次，再利用傳統之 Johensen(1988) 共整合檢定及考慮結構改變之 Gregory and Hansen (1996) 共整合檢定來探討T-REITs與各變數間是否出現共整合現象，同時比較兩共整合檢定的結果是否不同。最後，再透過 Hansen(2002) 提出的考慮結構改變之完全修正最小平方法 (fully modified estimation method，FMOLS) 去估計其迴歸係數。此外，文中也將針對各個結構轉變之時間點，找出相對應之重要經濟與金融等衝擊事件。

The aim of this paper is to examine the interaction between Taiwan Real Estate Investment Trusts (T-REITs) and financial variables. Being usually influenced by exogenous shocks or regime change in crucial economic or social events, the structural breaks are a general problem in macroeconomic series. For examining the issue of whether regime changes have broken down the stability of the long-run relationships between T-REITs and financial variables, besides the traditional tests , the unit root tests allowing for a structural break, offered by Zivot and Andrews (1992)、two structural breaks, offered by Lee and Strazicich (2003), the cointegration tests allowing for a structural break, offered by Gregory and Hansen (1996), and fully modified OLS, proposed by Hansen (2002), are used to execute the long run equilibrium relationship between the financial variables and T-REITs.

摘要....................................I
ABSTRACT...............................II
誌謝...................................III
目錄...................................IV
表目錄..................................V
圖目錄..................................VI
第一章、緒論..............................1
第一節 研究背景與動機.....................1
第二節 研究目的..........................4
第三節 研究架構..........................5
第二章、文獻回顧..........................7
第一節 不動產市場與經濟變數................7
第二節 不動產投資信託與經濟變數............10
第三章、研究方法..........................19
第一節 單根檢定..........................19
第二節 共整合檢定 ........................26
第三節 共整合係數檢定......................30
第四章 實證結果與分析......................34
第一節 資料選擇與說明......................34
第二節 實證結果與分析.....................40
第五章、結論與建議 .........................70
第一節 結論..............................70
第二節 後續研究建議.......................71
參考文獻..................................72
一、中文部份..............................72
二、英文部份..............................73

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