臺灣博碩士論文加值系統

REITs為目前在金融市場中相當熱絡且普遍的證券化商品，近年來由於亞太地區金融活動快速發展，以及全面性都市化的趨勢推動下，亞太地區不動產整體後勢看好。此外過去REITs研究對象主要以美國為主，故對於美國以外市場了解並不多，因此本研究想探討亞太市場特性供投資人參考。本研究以探討REITs波動性以及REITs與股市關聯性兩部分為主要目的；研究對象則為澳洲、日本、新加坡、台灣、韓國及香港等六國。研究方法主要透過ARMA(p，q)-GARCH(1，1)來分析波動性，關聯性部分則是透過共整合以及VECM模型來分析。研究結果發現規模較大的市場之REITs（如澳洲、日本）波動較不會受到外在影響，也就是對於投資者而言較能夠鎖定波動。另外研究研究發現所有國家的REITs與股市間都具有長期共整合關係存在，但短期下日本、韓國及香港並沒有存在因果關係，其他像澳洲、台灣及新加坡則是存在單向的因果關係。此外我們發現次級房貸風暴在REITs影響上全面性地，不論在波動性或關聯性上都有受到影響，但值得注意的是REITs規模愈大之國家其受影響程度愈小。

The real estate investment trusts (REITs) is one of the prevailing securitization products in financial markets. In recent years, the prospects of the real estate in Asia/Pacific Area are brightening because of the booming economic development and the comprehensive urbanization. Besides, America is the main object of the study in the past; other markets are less known to investors. Therefore, the aim of this paper is to discuss the characteristics of Asia/Pacific markets for investors. The main goals of this study are to discuss the volatility of REITs and the relationship between REITs and stock markets. Our results show that volatility behavior of REITs has GARCH effect in all markets. As to long-term relationship, we find that there is the cointegration relationship between REITs and stock indices among all sample countries. In addition, according to the empirical results, Causality tests show no significant lead-lag relationships between REITs market and stock markets in Japan, Korea, and Hong Kong. On the other hand, the result shows the effects of Subprime Crisis on REITs are dramatically, no matter in terms of volatility or correlation in REITs. Furthermore, the larger scale of REITs that one country has; the less the country would be affected.

中文摘要……………………………………………………………………………I
英文摘要……………………………………………………………………………II
目錄…………………………………………………………………………………III
表目錄………………………………………………………………………………V
圖目錄………………………………………………………………………………VI

目錄
第一章、前言…………………………………………………………………………1
第一節、研究動機…………………………………………………………………1
第二節、研究目的…………………………………………………………………4
第三節、研究架構與流程…………………………………………………………5
第二章、亞太地區REITs現況概述……………………………………………………6
第一節、澳洲市場…………………………………………………………………6
第二節、日本市場…………………………………………………………………6
第三節、新加坡市場………………………………………………………………7
第四節、台灣市場…………………………………………………………………8
第五節、韓國市場…………………………………………………………………8
第六節、香港市場…………………………………………………………………9
第三章、文獻回顧……………………………………………………………………10
第一節、REITs相關研究………………………………………………………10
第二節、市場關聯性研究………………………………………………………13
第三節、波動性相關研究………………………………………………………15
第四章、研究方法……………………………………………………………………17
第一節、REITs指數之編製………………………………………………………17
第二節、常態性檢定……………………………………………………………19
第三節、各國REITs波動性研究…………………………………………………20
第四節、各國REITs與股市間關聯性研究………………………………………25
第五節、次級房屋信貸風暴時間判定…………………………………………27
第五章、研究資料與實證分析……………………………………………………28
第一節、資料來源與研究範圍…………………………………………………28
第二節、實證結果………………………………………………………………29
第六章、結論與未來研究建議……………………………………………………45
第一節、研究結論………………………………………………………………45
第二節、後續研究建議……………………………………………………………47
參考文獻……………………………………………………………………………48

表目錄
表1、亞太地區不動產市場報酬摘要………………………………………………3
表2、亞太地區REITs市場現況……………………………………………………9
表3、資料來源摘要…………………………………………………………………28
表4、亞太六國REITs年化報酬摘要………………………………………………29
表5、亞太六國REITs及股市之單根檢定…………………………………………33
表6、亞太六國REITs及股市之自我相關Q統計量………………………………35
表7、亞太六國REITs之均數方程式配適…………………………………………36
表8、亞太六國REITs之變異數方程式配適………………………………………38
表9、亞太六國REITs之共整合檢定………………………………………………41
表10、亞太六國REITs與股市之誤差修正調整速度……………………………43
表11、亞太六國REITs之因果關係檢定………………………………………44

圖目錄
表1、澳洲股市與REITs趨勢圖……………………………………………………30
表2、日本股市與REITs趨勢圖……………………………………………………30
表3、新加坡股市與REITs趨勢圖…………………………………………………31
表4、台灣股市與REITs趨勢圖……………………………………………………31
表5、韓國股市與REITs趨勢圖……………………………………………………32
表6、香港股市與REITs趨勢圖……………………………………………………32

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