1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 危機時期，房市與股市間的感染效應之探討
Analysis of Financial Contagion between Real Estate and Stock Markets in Times of Crisis
作者 陳宥安
Chen, Yu-An
貢獻者 林信助
Lin, Shinn-Juh
陳宥安
Chen, Yu-An
關鍵詞 感染效應
無母數核密度估計
REITs
全球金融危機
COVID-19
Contagion Effect
Nonparametric Kernel Density Estimation
REITs
Global financial crisis
COVID-19
日期 2025
上傳時間 4-Aug-2025 14:15:49 (UTC+8)
摘要 近年來，COVID-19 疫情重創全球金融市場，引發市場間風險傳導與感染效應的高度關注。本文以 S&P 500 指數為股票市場代表，並將 REITs 分為: 權益型，主要持有實體不動產，收益來自租金與資本增值;抵押型，投資房地 產抵押貸款與相關證券，收益來自利差，分析兩類 REITs 與股市在全球金融危機與 COVID-19 疫情期間的動態聯動性與感染效應。 研究採用無母數核密度估計(KDE)模型估計資產間時變相關係數，並與 DCC-GARCH 模型比較，並結合門檻回歸檢定分析危機期間門檻效果對資產間感染效應的影響。實證結果顯示，全球金融危機期間兩類 REITs 與股市間皆存在顯著感染效應;COVID-19 疫情期間，僅 KDE 模型檢測出抵押型 REITs 與股市相關係數顯著上升，DCC 模型未能呈現同樣細緻變化。門檻效果檢定方面，當 VIX 設定為最適門檻值(VIX ≥ 54.5)時，檢定結果達顯著水準，顯示不同類型 REITs 在高恐慌情境下的反應差異，凸顯 KDE 模型在捕捉資產間非線性與極端風險下聯動行為的優勢，對金融監理與投資風險管理具重要參考價值。
The COVID-19 pandemic has severely impacted global financial markets, raising concerns about risk transmission and contagion. This study investigates the dynamic linkages between the S&P 500 and two types of REITs—equity REITs, which hold physical properties for rental and capital gains, and mortgage REITs, which invest in real estate loans and related securities. We apply the nonparametric kernel density estimation (KDE) model to estimate time-varying correlations, compare it with the DCC-GARCH model, and incorporate threshold regression to examine whether crises amplify contagion effects. Empirical results show significant contagion between both REITs types and the stock market during the Global Financial Crisis. During COVID-19, only the KDE model captured a significant rise in correlation between mortgage REITs and the stock market, whereas the DCC model failed to reflect such detailed dynamics. The threshold effect becomes significant at VIX ≥ 54.5, highlighting distinct REITs responses under high market stress. These findings demonstrate the KDE model’s advantage in capturing nonlinear and extreme risk linkages, offering important insights for risk management and regulation.
參考文獻 中央銀行(2020)。中央銀行年報(109 年度)，8–10。 王豊貿(2006)。 REITs 與股票報酬行為因果關係及通貨膨脹避險效果之探討 (未出版碩士論文)。國立中正大學國際經濟系。 邱國欽、吳明哲、王永昌、廖永熙、陳宗豪、黃佩柔(2015)。〈金融海嘯蔓延效應—以 REITs 市場為例〉。住宅學報，24(2)，73–95。 高子荃、高偉舜、林楚雄、蔡繡容、鍾沛璇(2017)。股票與不動產投資信託的蔓延效果及安全投資轉移:以希臘主權債務危機為例。住宅學報， 26(2)，75-90。 陳威瑄(2018)。探討 REIT 報酬率與股價報酬率之間的因果關係—門檻迴歸之應用(未出版碩士論文)。國立中正大學經濟系國際經濟學研究所。 楊明璋(2022)。美國股市對主要工業國家及亞洲股市在經濟震盪期不對稱多門檻變遷效應之研究(未出版博士論文)。國立臺北大學企業管理學系。 財訊雙週刊(2023 年 8 月 25 日)。〈股災來襲，房市會崩盤嗎?〉財訊雙週刊。https://www.wealth.com.tw/articles/fac441e3-a2c4-40b9-92ce-f15e4d49d95a Baur, D. G. & B. M. Lucey. (2009). Flights and Contagion an Empirical Analysis of Stock-Bond Correlations. Journal of Finance. 5(4): 339-352. BIS. (2009). The international financial crisis: Timeline, impact and policy responses in Asia and the Pacific. Bank for International Settlements. Bouri, E., Gupta, R., & Wang, S. (2019). Contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach (Working Paper No. 201917). University of Pretoria. Caporin, M., Gupta, R., & Ravazzolo, F. (2021). Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. The North American Journal of Economics and Finance, 55, Article 101310. Chiang, T. C. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian countries. Journal of International Money and Finance, 26(7), 1206–1228. Cho, J. H., & Parhizgari, A. M. (2008). East Asian financial contagion under DCC- GARCH. The International Journal of Banking and Finance, 6(1), 17–30. Choi, J. E., & Shin, D. W. (2021). Nonparametric estimation of time varying correlation coefficient. Journal of the Korean Statistical Society, 50(2), 333– 353. Corsetti, G., Pericoli, M., & Sbracia, M. (2005). Some contagion, some interdependence: More pitfalls in tests of financial contagion. Journal of International Money and Finance, 24(8), 1177–1199. Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Observer, 15(2), 177–197. Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166–176. Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339–350. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57(5), 2223–2261. Hansen, B. E., (1999). Threshold effects in non-dynamic panels: Estimation, testing and inference. Journal of Econometrics, Vol. 93, pp.345-368. Johansen, S. (1998). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231–254. Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2003). The unholy trinity of financial contagion. Journal of Economic Perspectives, 17(4), 51–74. Liow, K. H., Huang, Y., & Song, J. (2019). Relationship between the United States housing and stock markets: Some evidence from wavelet analysis. The North American Journal of Economics and Finance, 50, Article 101033. Newey, Whitney K., and Kenneth D. West. (1987). A Simple, Positive Semi- Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55: 703–8. Nguyen, T. N., Phan, T. K. H., & Nguyen, T. L. (2022). Financial contagion during global financial crisis and COVID–19 pandemic: The evidence from DCC– GARCH model. Cogent Economics & Finance, 10(1), 2051824. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
描述 碩士
國立政治大學
國際經營與貿易學系
112351034
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112351034
資料類型 thesis
dc.contributor.advisor 林信助zh_TW
dc.contributor.advisor Lin, Shinn-Juhen_US
dc.contributor.author (Authors) 陳宥安zh_TW
dc.contributor.author (Authors) Chen, Yu-Anen_US
dc.creator (作者) 陳宥安zh_TW
dc.creator (作者) Chen, Yu-Anen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:15:49 (UTC+8)-
dc.date.available 4-Aug-2025 14:15:49 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:15:49 (UTC+8)-
dc.identifier (Other Identifiers) G0112351034en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158538-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 112351034zh_TW
dc.description.abstract (摘要) 近年來，COVID-19 疫情重創全球金融市場，引發市場間風險傳導與感染效應的高度關注。本文以 S&P 500 指數為股票市場代表，並將 REITs 分為: 權益型，主要持有實體不動產，收益來自租金與資本增值;抵押型，投資房地 產抵押貸款與相關證券，收益來自利差，分析兩類 REITs 與股市在全球金融危機與 COVID-19 疫情期間的動態聯動性與感染效應。 研究採用無母數核密度估計(KDE)模型估計資產間時變相關係數，並與 DCC-GARCH 模型比較，並結合門檻回歸檢定分析危機期間門檻效果對資產間感染效應的影響。實證結果顯示，全球金融危機期間兩類 REITs 與股市間皆存在顯著感染效應;COVID-19 疫情期間，僅 KDE 模型檢測出抵押型 REITs 與股市相關係數顯著上升，DCC 模型未能呈現同樣細緻變化。門檻效果檢定方面，當 VIX 設定為最適門檻值(VIX ≥ 54.5)時，檢定結果達顯著水準，顯示不同類型 REITs 在高恐慌情境下的反應差異，凸顯 KDE 模型在捕捉資產間非線性與極端風險下聯動行為的優勢，對金融監理與投資風險管理具重要參考價值。zh_TW
dc.description.abstract (摘要) The COVID-19 pandemic has severely impacted global financial markets, raising concerns about risk transmission and contagion. This study investigates the dynamic linkages between the S&P 500 and two types of REITs—equity REITs, which hold physical properties for rental and capital gains, and mortgage REITs, which invest in real estate loans and related securities. We apply the nonparametric kernel density estimation (KDE) model to estimate time-varying correlations, compare it with the DCC-GARCH model, and incorporate threshold regression to examine whether crises amplify contagion effects. Empirical results show significant contagion between both REITs types and the stock market during the Global Financial Crisis. During COVID-19, only the KDE model captured a significant rise in correlation between mortgage REITs and the stock market, whereas the DCC model failed to reflect such detailed dynamics. The threshold effect becomes significant at VIX ≥ 54.5, highlighting distinct REITs responses under high market stress. These findings demonstrate the KDE model’s advantage in capturing nonlinear and extreme risk linkages, offering important insights for risk management and regulation.en_US
dc.description.tableofcontents 摘要 I ABSTRACT II 目錄 III 表次 IV 圖次 V 第一章 緒論 1 第二章 研究方法 4 第一節 DCC–GARCH 模型應用 4 第二節 CHOI AND SHIN(2021)模型應用 6 第三節 危機期間虛擬變數設計與相關係數之回歸檢定 7 第四節 門檻效果 10 第三章 實證結果分析 12 第一節 數據來源 12 第二節 資料敘述性統計 17 一、全球金融危機期間分析 20 二、全球疫情危機期間分析 22 第三節 DCC 與 KDE 動態相關係數之比較分析 24 第四節 危機期間虛擬變數與相關係數之迴歸檢定 27 第五節 門檻迴歸檢定 31 第四章 結論 35 參考文獻 38zh_TW
dc.format.extent 2236011 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112351034en_US
dc.subject (關鍵詞) 感染效應zh_TW
dc.subject (關鍵詞) 無母數核密度估計zh_TW
dc.subject (關鍵詞) REITszh_TW
dc.subject (關鍵詞) 全球金融危機zh_TW
dc.subject (關鍵詞) COVID-19zh_TW
dc.subject (關鍵詞) Contagion Effecten_US
dc.subject (關鍵詞) Nonparametric Kernel Density Estimationen_US
dc.subject (關鍵詞) REITsen_US
dc.subject (關鍵詞) Global financial crisisen_US
dc.subject (關鍵詞) COVID-19en_US
dc.title (題名) 危機時期，房市與股市間的感染效應之探討zh_TW
dc.title (題名) Analysis of Financial Contagion between Real Estate and Stock Markets in Times of Crisisen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中央銀行(2020)。中央銀行年報(109 年度)，8–10。 王豊貿(2006)。 REITs 與股票報酬行為因果關係及通貨膨脹避險效果之探討 (未出版碩士論文)。國立中正大學國際經濟系。 邱國欽、吳明哲、王永昌、廖永熙、陳宗豪、黃佩柔(2015)。〈金融海嘯蔓延效應—以 REITs 市場為例〉。住宅學報，24(2)，73–95。 高子荃、高偉舜、林楚雄、蔡繡容、鍾沛璇(2017)。股票與不動產投資信託的蔓延效果及安全投資轉移:以希臘主權債務危機為例。住宅學報， 26(2)，75-90。 陳威瑄(2018)。探討 REIT 報酬率與股價報酬率之間的因果關係—門檻迴歸之應用(未出版碩士論文)。國立中正大學經濟系國際經濟學研究所。 楊明璋(2022)。美國股市對主要工業國家及亞洲股市在經濟震盪期不對稱多門檻變遷效應之研究(未出版博士論文)。國立臺北大學企業管理學系。 財訊雙週刊(2023 年 8 月 25 日)。〈股災來襲，房市會崩盤嗎?〉財訊雙週刊。https://www.wealth.com.tw/articles/fac441e3-a2c4-40b9-92ce-f15e4d49d95a Baur, D. G. & B. M. Lucey. (2009). Flights and Contagion an Empirical Analysis of Stock-Bond Correlations. Journal of Finance. 5(4): 339-352. BIS. (2009). The international financial crisis: Timeline, impact and policy responses in Asia and the Pacific. Bank for International Settlements. Bouri, E., Gupta, R., & Wang, S. (2019). Contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach (Working Paper No. 201917). University of Pretoria. Caporin, M., Gupta, R., & Ravazzolo, F. (2021). Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. The North American Journal of Economics and Finance, 55, Article 101310. Chiang, T. C. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian countries. Journal of International Money and Finance, 26(7), 1206–1228. Cho, J. H., & Parhizgari, A. M. (2008). East Asian financial contagion under DCC- GARCH. The International Journal of Banking and Finance, 6(1), 17–30. Choi, J. E., & Shin, D. W. (2021). Nonparametric estimation of time varying correlation coefficient. Journal of the Korean Statistical Society, 50(2), 333– 353. Corsetti, G., Pericoli, M., & Sbracia, M. (2005). Some contagion, some interdependence: More pitfalls in tests of financial contagion. Journal of International Money and Finance, 24(8), 1177–1199. Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Observer, 15(2), 177–197. Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166–176. Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339–350. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57(5), 2223–2261. Hansen, B. E., (1999). Threshold effects in non-dynamic panels: Estimation, testing and inference. Journal of Econometrics, Vol. 93, pp.345-368. Johansen, S. (1998). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231–254. Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2003). The unholy trinity of financial contagion. Journal of Economic Perspectives, 17(4), 51–74. Liow, K. H., Huang, Y., & Song, J. (2019). Relationship between the United States housing and stock markets: Some evidence from wavelet analysis. The North American Journal of Economics and Finance, 50, Article 101033. Newey, Whitney K., and Kenneth D. West. (1987). A Simple, Positive Semi- Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55: 703–8. Nguyen, T. N., Phan, T. K. H., & Nguyen, T. L. (2022). Financial contagion during global financial crisis and COVID–19 pandemic: The evidence from DCC– GARCH model. Cogent Economics & Finance, 10(1), 2051824. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.zh_TW