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題名 聚焦綠色投資與氣候變遷：美國 REITs 市場的從眾行為
The Lens of Green Focus: Herding Behavior in the U.S. REITs Market
作者 柯騰達
Ke, Teng-Da
貢獻者 林士貴<br>朱芳妮
Lin, Shih-Kuei<br>Chu, Fang-Ni
柯騰達
Ke, Teng-Da
關鍵詞 房地產投資信託
綠色投資
從眾行為
氣候變遷關切
不確定性
Real estate investment trust
Green investment
Herding behavior
Climate change concerns
Uncertainty
日期 2023
上傳時間 2-Aug-2023 14:10:54 (UTC+8)
摘要 在媒體報導的推波助瀾下，越來越多的投資者因擔心錯過符合當前社會偏好的投資機會，紛紛湧入綠色金融市場。本研究旨在探討美國房地產投資信託 (REITs)市場中投資者的從眾行為及其與持續增長的綠色投資意識之間的關聯。利用時變的橫斷面絕對值變異數 (CSAD) 模型，我們發現從眾行為的強度會隨時間變化，在市場緩漲時逐漸累積，而在危機時期則會趨於減緩並表現出一些反從眾行為。研究結果顯示，氣候變化關切程度的提升會加劇從眾效應，而政策不確定性的增加則會減弱從眾行為。此外，我們還觀察到從眾行為與市場波動性之間呈現負向關係。同時，本研究還發現綠色資產波動度的衝擊會減輕從眾效應，並激勵投資者進入正向的社會學習過程。這些發現具有政策意涵，並彰顯綠色投資與氣候關切的實踐對於推動 REITs 的可持續發展的重要性。
Under the influence of growing media coverage, more investors are jumping into the green investment bandwagon, driven by the fear of missing out on opportunities aligned with shifting social preferences. This study examines investor herding behavior in the U.S. REITs market and its association with the growing awareness of sustainable investing. Using a time-varying cross-sectional absolute deviation (CSAD) model, we find that the herding effect varies over time, accumulating during slow market upturns, weakening during crises, and exhibiting some instances of anti-herding behavior. Our findings suggest that climate change concerns amplify the herding effect, while policy uncertainty diminishes it. Additionally, we observe a negative correlation between herding behavior and market volatility. The study explores the impact of volatility spikes in green assets on investor behavior, mitigating the herding effect and promoting positive social learning. These findings have policy implications and highlight the importance of green investment and climate concerns in advancing the sustainable development of REITs.
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描述 碩士
國立政治大學
金融學系
110352011
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352011
資料類型 thesis
dc.contributor.advisor 林士貴<br>朱芳妮zh_TW
dc.contributor.advisor Lin, Shih-Kuei<br>Chu, Fang-Nien_US
dc.contributor.author (Authors) 柯騰達zh_TW
dc.contributor.author (Authors) Ke, Teng-Daen_US
dc.creator (作者) 柯騰達zh_TW
dc.creator (作者) Ke, Teng-Daen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 14:10:54 (UTC+8)-
dc.date.available 2-Aug-2023 14:10:54 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 14:10:54 (UTC+8)-
dc.identifier (Other Identifiers) G0110352011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146598-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 110352011zh_TW
dc.description.abstract (摘要) 在媒體報導的推波助瀾下，越來越多的投資者因擔心錯過符合當前社會偏好的投資機會，紛紛湧入綠色金融市場。本研究旨在探討美國房地產投資信託 (REITs)市場中投資者的從眾行為及其與持續增長的綠色投資意識之間的關聯。利用時變的橫斷面絕對值變異數 (CSAD) 模型，我們發現從眾行為的強度會隨時間變化，在市場緩漲時逐漸累積，而在危機時期則會趨於減緩並表現出一些反從眾行為。研究結果顯示，氣候變化關切程度的提升會加劇從眾效應，而政策不確定性的增加則會減弱從眾行為。此外，我們還觀察到從眾行為與市場波動性之間呈現負向關係。同時，本研究還發現綠色資產波動度的衝擊會減輕從眾效應，並激勵投資者進入正向的社會學習過程。這些發現具有政策意涵，並彰顯綠色投資與氣候關切的實踐對於推動 REITs 的可持續發展的重要性。zh_TW
dc.description.abstract (摘要) Under the influence of growing media coverage, more investors are jumping into the green investment bandwagon, driven by the fear of missing out on opportunities aligned with shifting social preferences. This study examines investor herding behavior in the U.S. REITs market and its association with the growing awareness of sustainable investing. Using a time-varying cross-sectional absolute deviation (CSAD) model, we find that the herding effect varies over time, accumulating during slow market upturns, weakening during crises, and exhibiting some instances of anti-herding behavior. Our findings suggest that climate change concerns amplify the herding effect, while policy uncertainty diminishes it. Additionally, we observe a negative correlation between herding behavior and market volatility. The study explores the impact of volatility spikes in green assets on investor behavior, mitigating the herding effect and promoting positive social learning. These findings have policy implications and highlight the importance of green investment and climate concerns in advancing the sustainable development of REITs.en_US
dc.description.tableofcontents Chapter 1 Introduction...1
Chapter 2 Literature Review...7
2.1 Climate change in real estate...7
2.2 Climate finance...9
2.3 Herding behavior...10
2.3.1 Theoretical research...10
2.3.2 Empirical research...11
Chapter 3 Methodology and Hypothesis...18
3.1 CSAD herding framework...19
3.2 Detection of climate change herding...23
3.3 Examine herding and climate change-related uncertainty: a VAR approach...27
Chapter 4 Data and Empirical Results...32
4.1 Data and descriptive statistics...32
4.2 Empirical results...34
4.2.1 CSAD herding framework...34
4.2.2 Detection of climate change herding...39
4.3.3 Examine herding and climate change-related uncertainty: a VAR approach...43
Chapter 5 Conclusion and Future Work...54
Bibliography...56		zh_TW
dc.format.extent 894604 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352011en_US
dc.subject (關鍵詞) 房地產投資信託zh_TW
dc.subject (關鍵詞) 綠色投資zh_TW
dc.subject (關鍵詞) 從眾行為zh_TW
dc.subject (關鍵詞) 氣候變遷關切zh_TW
dc.subject (關鍵詞) 不確定性zh_TW
dc.subject (關鍵詞) Real estate investment trusten_US
dc.subject (關鍵詞) Green investmenten_US
dc.subject (關鍵詞) Herding behavioren_US
dc.subject (關鍵詞) Climate change concernsen_US
dc.subject (關鍵詞) Uncertaintyen_US
dc.title (題名) 聚焦綠色投資與氣候變遷：美國 REITs 市場的從眾行為zh_TW
dc.title (題名) The Lens of Green Focus: Herding Behavior in the U.S. REITs Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alok, S., Kumar, N., & Wermers, R. (2020). Do fund managers misestimate climatic disaster risk. The Review of Financial Studies, 33(3), 1146-1183.
Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2022). Climate change concerns and the performance of green vs. brown stocks. Management Science.
Arjoon, V., & Bhatnagar, C. S. (2017). Dynamic herding analysis in a frontier market. Research in International Business and Finance, 42, 496-508.
Babalos, V., Balcilar, M., & Gupta, R. (2015). Herding behavior in real estate markets: novel evidence from a Markov-switching model. Journal of Behavioral and Experimental Finance, 8, 40-43.
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
Balcilar, M., Demirer, R., & Hammoudeh, S. (2014). What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors. The North American Journal of Economics and Finance, 29, 418-440.
Balcilar, M., Demirer, R., & Ulussever, T. (2017). Does speculation in the oil market drive investor herding in emerging stock markets?. Energy Economics, 65, 50-63.
Barnett, M. (2023). Climate change and uncertainty: An asset pricing perspective. Management Science.
Bassen, A., Gödker, K., Lüdeke-Freund, F., & Oll, J. (2019). Climate information in retail investors’ decision-making: Evidence from a choice experiment. Organization & Environment, 32(1), 62-82.
Beck, J., & Lin, M. (2020). The impact of sea level rise on real estate prices in coastal Georgia. Review of Regional Studies, 50(1), 43-52.
Behnam, R., Litterman, B., Gillers, D., Martinez-Diaz, L., Keenan, J. M., & Moch, S. (2020). Managing climate risk in the US financial system. Climate-Related Market Risk Subcommittee, Market Risk Advisory Committee, 196.
Beltrán, A., Maddison, D., & Elliott, R. J. (2018). Is flood risk capitalised into property values?. Ecological Economics, 146, 668-685.
BenSaïda, A. (2017). Herding effect on idiosyncratic volatility in US industries. Finance Research Letters, 23, 121-132.
Benz, L., Jacob, A., Paulus, S., & Wilkens, M. (2020). Herds on green meadows: The decarbonization of institutional portfolios. Journal of Asset Management, 21, 13-31.
Bernstein, A., Gustafson, M. T., & Lewis, R. (2019). Disaster on the horizon: The price effect of sea level rise. Journal of Financial Economics, 134(2), 253-272.
Bessec, M., & Fouquau, J. (2021). A green wave in media, a change of tack in stock markets. Working Paper.
Bhattacharya-Mis, N., and J. Lamond. 2015. Flood Risk vs Property Value: A Sector Specific Market Perception Study of Commercial Properties. Fifth International Conference on Building Resilience, Newcastle, Australia.
Bikhchandani, S., & Sharma, S. (2000). Herd behavior in financial markets. IMF Staff papers, 47(3), 279-310.
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