臺灣博碩士論文加值系統

本文主要研究不動產、REITs與股票市場間之風險因果關係，了解資產間之風險傳遞方向有助於預測風險的發生，避免投資上的損失。本文研究對象為美國市場，並使用Hong, Liu and Wang (2009)提出的Granger causality in risk來研究不動產，REITs與股票市場間的風險傳導。實證結果發現，在較高風險水準下，不動產市場的風險將會Granger-cause REITs市場與股票市場的風險，代表不動產市場遭遇極端風險後其它資產也將遭受影響。由於次貸風暴起源於不動產市場，根據此研究結果，政府必須積極的監控不動產市場的任何資訊，避免不動產市場發生泡沫化現象，因為這將會嚴重衝擊國家的經濟發展，而投資人亦不可忽略不動產市場的訊息，避免遭遇風險。

This paper studies the Granger causality in risk between the direct real estate market, the REITs market and the stock market. Understanding the direction of risk transmission can help to predict the risk in advance and avoid losses of investments in these markets. This study using the framework of Hong, Liu and Wang (2009) to study the causal relationship in risk between the real estate market, the REITs market and the stock market in the U.S.. Empiricals evidence shows that the extreme risk in the real estate market may Granger-cause the risk in the REITs and the stock market. This finding implies that the real estate market may be the source of risk to other asset markets when the real estate market suffered extreme risk. Because the subprime mortgage crisis originated in the real estate market, government may need to monitor the risk in the real estate market to preventevere influence to the national economy. The investor can not ignore the real estate market information, to avoid the encounter risks.

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 研究背景及動機 1
第二節 研究目的 3
第三節 研究流程 5
第二章 文獻回顧 6
第一節 不動產與REITs市場間關係之研究 6
第二節 REITs與股票市場間關係之研究 8
第三節 不動產與股票市場間關係之研究 10
第三章 研究模型 12
第一節 VaR模型 12
第二節 Granger Causality in Risk 15
第三節 雙向的Granger causality in risk 19
第四章 實證結果與分析 21
第一節 樣本資料與敘述統計量分析 21
第二節 檢測歷史模擬法 23
第三節 風險因果關係 24
第五章 結論與建議 29
參考文獻 31

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