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研究生:沈珊羽
研究生(外文):Shan-yu Shen
論文名稱:通貨膨脹對不動產投資信託基金與 股票報酬率及波動性之影響-台灣之實證研究
論文名稱(外文):The Effect of Inflation on the Real Estate Investment Trusts Returns and Stock Returns and Volatility-An Empirical Research of Taiwan
指導教授:王永昌王永昌引用關係
指導教授(外文):Yung-chang Wang
口試委員:張錦崑梁榮輝王永昌
口試委員(外文):Chin-kun ChangZong-fui LiangYung-chang Wang
口試日期:2011-06-01
學位類別:碩士
校院名稱:中國文化大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:55
中文關鍵詞:不動產信託基金通貨膨脹報酬率波動性
外文關鍵詞:T-REITsinflationreturn ratesvolatility
相關次數:
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  • 下載下載:184
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不動產具通貨膨脹避險功能,以不動產為標的物的REITs是否也具通貨膨脹避險功能?現有文獻意見分歧,有些文獻發現REITs呈現逆向通貨膨脹避險的現象,但有些文獻則發現REITs報酬率與通貨膨脹呈現正向關係而具有通貨膨脹避險功能。
本文收集2005年3月至2012年12月T-REITs指數、台灣股票市場加權指數(股票指數)和通貨膨脹率之月資料,利用Hodrick-Prescott Filter將通貨膨脹分成預期和非預期,並採用不對稱反應模式Simpson, Ramchander, and Webb (2007),設立GARCH模型,分別檢視通貨膨脹、預期通貨膨脹和非預期通貨膨脹對T-REITs報酬率和股票報酬率及其波動性的影響。
本文發現(一)通膨對股價報酬率和REITs報酬率都無影響,名目報酬率雖不受通膨的影響,但實質報酬率會因通膨而下降,故二者支持Fama假說。從這一個觀點來看,REITs像股票,不像不動產,即無抗通膨的特性。(二)二者不同的地方在於,正通膨和非預期正通膨會擴大股價報酬率的波動性,即投資股票的風險上升,但卻縮小RE報酬率的波動性,即投資REITs的風險下降。從這一點來看,REITs不像股票,像不動產。

To argue the correlation between stock returns and inflation, There are discrepancies between literature that whether REITs are as the same as the real estates to avoid inflation: some documents demonstrated REITs were not anti-inflation whereas others displayed REITs were anti-inflation in a manner that the returns of REITs were positively correlated with inflation.
The study initially collected the data of T-REITs index, the Taiwan stock exchange capitalization weighted stock index, and monthly inflation ratio from March, 2005 to December 2012. Then utilizing Hodrick-Prescott Filter to separate expected and unexpected inflation and adopting asymmetric transmission model from Simpson, Ramchander, and Webb (2007); in the meanwhile, to set GARCH model to examine the influences of inflation, expected inflation, and unexpected inflation to the returns of T-REITs, the stocks returns, and the volatility to inflation.
The results show that inflation would not influence the stock returns and the returns of REITs; real stocks returns would be declined by inflation albeit nominal stocks returns would not. These arguments render support to Fama's hypothesis. REITs are thus more like stocks than real estates. Additionally, positive inflation and unexpected inflation would increase the volatility of the stock returns and thus increase the risk of stock investment, whereas they would reduce the volatility of the REITs returns. This statement affirms that REITs are more like real estates than stocks.

中文摘要 ...................... iii
英文摘要 ...................... iv
致謝辭  ...................... v
內容目錄 ...................... vi
表目錄  ...................... vii
圖目錄  ...................... viii
第一章  緒論.................... 1
  第一節  研究背景與動機............. 1
  第二節  研究問題與目的............. 8
  第三節  研究內容與流程............. 10
第二章  文獻探討.................. 12
  第一節  通膨與股票報酬之探討.......... 13
  第二節  通膨與不動產和REITs報酬之探討..... 14
  第三節  通貨膨脹不對稱之探討.......... 16
第三章  研究方法.................. 18
  第一節  單根檢定................ 18
  第二節  GRACH模型 .............. 21
  第三節  實證模型................ 22
第四章  實證研究結果................ 25
  第一節  資料來源與變數說明........... 25
  第二節  預期與非預期通貨膨脹資料區分法..... 27
  第三節  GRACH實證 .............. 28
第五章  結論 ................... 37
參考文獻  ..................... 41


表目錄

表 4-1 研究數據來源................ 25
表 4-2 ADF單根檢定................ 26
表 4-3 通貨膨脹率資料無區分之GARCH結果 ..... 32
表 4-4 區分正負通貨膨脹率資料之GARCH結果 .... 33
表 4-5 區分預期、非預期通貨膨脹率資料之GARCH結果 34
表 4-6 預期之正負通貨膨脹率資料之GARCH結果 ... 35
表 4-7 非預期之正負通貨膨脹率資料之GARCH結果 .. 36













圖目錄

圖 1-1 通貨膨脹的發生與不動產投資 ......... 2
圖 1-2 國際能源總署1971年至2010年之世界主要原油、Rotterdam石油產品現貨價格(美元/桶)......
3
圖 1-3 國際能源總署2012年公布世界能源主要煤成本(USD/tonne)與天然氣進口價格 (USD/MBtu) ...
3
圖 1-4 研究流程圖 ................. 11
圖 4-1 通貨膨脹率之Hodrick-Prescott Filer圖 ...... 28
圖 5-1 REITs報酬率與通貨膨脹波動關係結果圖 .... 38
圖 5-2 TAIEX報酬率與通貨膨脹波動關係結果圖 .... 39


一、中文部分
蔡怡純、胥愛琦、陳明吉(2009),不動產投資信託基金變得更危險了嗎?亞洲市場實證研究,經濟與管理論叢,6(2),271-298。

翁偉翔,張金鶚,陳明吉(2003),台灣不動產證券化產品巿場需求之初探,住宅學報,13(2),1-29。

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