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研究生:張惠鈞
研究生(外文):CHANG, HUI-CHUN
論文名稱:不動產投資信託市場波動不對稱性之研究
論文名稱(外文):An Analysis of the Asymmetric Volatility in REITs Markets
指導教授:彭序文彭序文引用關係
指導教授(外文):PENG HSU-WEN
口試委員:彭序文洪裕勝薛勝斌
口試委員(外文):PENG, HSU-WENHONG, YU-SHENGXUE, SHENG-BIN
口試日期:2024-01-29
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:不動產與城鄉環境學系
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2024
畢業學年度:112
語文別:中文
論文頁數:93
中文關鍵詞:不動產投資信託波動不對稱性槓桿效果T-GARCH
外文關鍵詞:REITsasymmetric volatilityleverage effectT-GARCH
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西元 2020 年 COVID-19 疫情的爆發對全球金融與不動產投資市場產生相當大的影響,隨著各國政府實施封鎖限制,商業不動產需求產生變動導致租戶無法支付不動產所有權人租金。而過去研究多指出不動產投資信託(Real Estate Investment Trust, REIT)具有抗跌性,存在反向槓桿效果;但亦有部份提出反面看法,認為 REITs 與股票同樣存在槓桿效果,分散投資組合風險能力降低。因此,為釐清美國權益型REITs以及其資產類別之波動特性,本文資料使用 Datastream 財經數據資料庫中西元2010 年 1/1 至 2022/12/31 之日報酬資料,並以 T-GARCH (Threshold GARCH Model)模型,檢視美國權益型 REITs 以及各資產類別在不同時間段間的波動特性。根據實證結果指出,美國整體權益型REITs與其六個資產類別,分別為辦公室、工業廠房、零售業、住宅、旅宿/度假、自助倉儲皆具有槓桿效果(向上波動不對稱性)。本文為進一步探討REITs向上波動不對稱之原因,亦針對股票S&P500指數做波動性實證以及與REITs的相關性檢定。實證結果顯示S&P500指數同樣具有向上波動不對稱性,由相關性檢定也發現兩者呈現中高度相關,並且在新冠肺炎子時期之相關性提高。本文進而切分不同時間段觀察各資產類別的波動幅度大小,發現全時段以及一般時期,整體權益型REITs與其資產類別的波動幅度皆小於S&P500,其資產性質較大盤穩定;但在新冠肺炎期間,整體權益型REITs以及受疫情負面影響較大的辦公室、零售業、住宅以及旅宿/度假類別的波動幅度大於S&P500的波動幅度;而在疫情中受益的工業廠房和自助倉儲的波動幅度則小於S&P500。
The outbreak of the COVID-19 pandemic in 2020 had a significant impact on the global financial and real estate investment markets. As governments implemented lockdown restrictions, the demand for commercial real estate changed, leading to tenants being unable to pay rent to property owners. Previous research often indicated that Real Estate Investment Trusts (REITs) possess resilience and exhibit a reverse leverage effect during market downturns. However, there are opposing views suggesting that REITs, like stocks, may also experience leverage effects, reducing the diversification ability of investment portfolios. Therefore, to clarify the volatility characteristics of equity REITs in the United States and their asset classes, this paper uses daily return data from January 1, 2010 to December 31, 2022 from the Datastream financial database. The T-GARCH (Threshold GARCH Model) is employed to examine the volatility characteristics of U.S. equity REITs and various asset classes during different time periods. According to the empirical results, the overall U.S. equity REITs and its six asset classes, including offices, industrial, retail, residential, hotel/resort, and self-storage, all exhibit leverage effects (upward volatility asymmetry). To further explore the reasons for the upward volatility asymmetry in REITs, this paper also conducts volatility empirical analysis on the S&P 500 stock index and tests its correlation with REITs. The empirical results show that the S&P 500 index also exhibits upward volatility asymmetry, and the correlation test finds a moderate to high correlation between the two, with the correlation increasing during the COVID-19 pandemic period. This paper further divides the time periods to observe the magnitude of volatility for each asset class. It finds that during the overall and normal periods, the volatility of the overall equity REITs and its asset classes is lower than the S&P 500, indicating a more stable asset nature compared to the broader market. However, during the COVID-19 pandemic, the volatility of the overall equity REITs, as well as asset classes more negatively impacted by the pandemic such as offices, retail, residential, and hotel/resort, exceeded the volatility of the S&P 500. In contrast, the volatility of industrial and self-storage, which benefited during the pandemic, was lower than the S&P 500.
目錄
第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究流程與架構 7
第貳章 文獻回顧 10
第一節 美國REITs介紹 10
第二節 美國REITs市場介紹 16
第三節 新冠肺炎疫情期間市場表現 20
第四節 波動不對稱性之相關研究 24
第參章 研究方法與資料說明 29
第一節 研究設計 29
第二節 實證方法與模型介紹 31
第三節 資料描述 38
第肆章 實證結果與討論 53
第一節 實證結果 53
第二節 模型解釋 68
第三節 REITs與S&P500相關性檢定 79
第四節 實證分析與討論 81
第伍章 結論與建議 85
參考文獻 88


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