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題名 台灣不動產投資信託基金的價格是否存在過度恐慌？
Does the price of REITs in Taiwan exist excess fear?
作者 沈容光
貢獻者 杜化宇
沈容光
關鍵詞 不動產投資信託基金
恐慌指數
槓桿效果
抗跌性
日期 2011
上傳時間 30-Oct-2012 10:14:01 (UTC+8)
摘要 早期國外學者指出不動產投資信託基金具有「低風險」與「防禦性」的特質，簡稱為「抗跌性」與「反槓桿效果」，亦即除了與大盤相關性較低之外，市場的負向衝擊對於其報酬的影響比正向衝擊來的小。為了瞭解台灣不動產投資信託基金的價格是否存在過度恐慌，本文分成兩部分著眼：過去的研究大都著手在不動產投資信託基金的價格上，而忽略其為封閉型基金的特性，故本文先從「封閉型基金」角度，以因素分析擷取其共同因子，再利用BGARCH模型，探討共同因子與台灣VIX指數變化間是否存在不對稱效果。第二則是將不動產投資信託基金折溢價進行拆解，分為價格與資產淨值，運用相同方式重新觀察反槓桿效果，探討台灣不動產投資信託基金的價格是否存在過度恐慌。
本研究得到一些與過去文獻不同的結論：
1.若市場出現正向或是負向衝擊，台灣不動產投資信託基金折溢價的波動會上升， 且過去的衝擊持續性強，反應財務資料呈現的波動叢集性。
2.不動產投資信託基金價格具有「槓桿效果」，市場的負向衝擊會額外增加報酬的波動，並無防禦性特質。
3.REITs價格與台灣VIX指數變動具有顯著相關，而資產淨值則無此現象，證明台灣不動產投資信託基金價格相對於資產淨值存在過度恐慌的現象。
參考文獻 1. 陳順宇，多變量分析，四版，民國94年，華泰文化公司出版
2. 楊奕農，時間序列分析 ─ 經濟與財務上之應用，二版，民國98年，雙葉書廊有
限公司
3. 陳旭昇，時間序列分析 ─ 總體經濟與財務金融之應用，民國98年，台灣東華書
局
4. Tsay, Ruey S.(2005) Analysis of Financial Time Series,
Wiley Series in Probability and Statistics
5. 蔡怡純、陳明吉，“台北地區不動產價格波動不對稱性探討”，中華民國住宅學
會學報，民國九十七年十二月，第十七卷第二期，1-11頁
6. 王健安、張金鶚，“臺灣 REITs 與 REATs 發行個案之典型事實分析”，臺灣
銀行季刊，民國九十八年十二月，第六十卷第四期，169-223頁
7. 許君毅，“風險觀點下探討台灣 REITs 的關聯性分析- 結合主成份分析法之
實證”，會計與財金研究，民國九十九年一月，第三卷第一期，55-71頁
8. 蔡怡純、胥愛琦、陳明吉，“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，民國九十九年七月，第六卷第二期， 271-298頁
9. 蔡怡純，“台灣不動產投資信託基金之抗跌與風險特性”，中華民國住宅學會學
報，民國一百年六月，第二十卷第一期，25-58頁
10. 蔡怡純、陳明吉、張光亮，“台灣不動產投資信託基金具有防禦性嗎？”，證券
市場發展季刊，民國一百年，第二十三卷第三期，199-224.頁
11. Anderson Seth, T. R. Beard, H. Kim and L. V. Stern
(2011) “Fear and Closed-End Fund Discounts: Investor
Sentiment revisited, ” Journal of Economic Literature,
C32, G01, G12
12. Agyei-Ampomah, S. and J. R. Davies (2005) “Excess
Volatility and UK Investment Trusts, ” Journal of
Business Finance & Accounting, Vol. 32, Nos. 5 & 6 ,
1033–62
13. Boudreaux, Kenneth J (1973) “Discounts and Premiums on
Closed-End Mutual Funds: A Study in Valuation,” The
Journal of Finance, Vol. 28, No. 2
14. Black, F. (1976) “Studies in Stock Price Volatility
Changes,” Proceedings of the 1976 Business Meeting of
the Business and Economics Statistics Section, American
Statistical Association, 177-181
15. Bollerslev, T.(1986) “Generalized Autoregressive
Conditional Heteroskedasticity,” Journal of
Econometrics, 31: 307-328.
16. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988),
“A Capital Asset Pricing Model with Time-Varying
Covariances”, Journal of Political Economy, 96, 116-131
17. Bollerslev, T. (1990) “Modelling the Coherence in Short-
Run Nominal Exchange Rate: A Multivariate Generalized
ARCH Approach,” Review of Economics and Statistic, 72,
498-505
18. Barkham, R., and Ward, C. W.(1999) “Investor sentiment
and noise traders: discount to net asset value in listed
property companies in the UK.,” Journal of Real Estate
Research, 18(2), 291 – 312.
19. Chan, K.C. Patric H. Hendershott, and Anthony B. Sanders
(1990) “Risk and Return on Real Estate: Evidence from
Equity REITs,” Working paper, National Bureau of
Economic Research
20. Chen Nai-Fu, Kan R. and Merton H. Miller (1993) “Are the
Discounts on Closed-End Funds a Sentiment Index,”Journal
of Finance, Vol. 48, No. 2, 795-800
21. Capozza, D. and S. Lee (1995) “Property Type, Size and
REIT Value,” Journal of Real Estate Research, 10, 363-
379.
22. Clayton, J., MacKinnon, G. (2001) “Explaining the
discount to NAV in REIT pricing: Noise or information?
,” Working Paper, RERI
23. De Long, J. Bradford, Andrei Shleifer, Larrence H.
Summers and Richard J. Waldman (1990) “Noise Trader Risk
in Financial Markets.” Journal of Political Economy 98,
703-738.
24. Engle, Robert F. (1982) “Autoregressive Conditional
Heteroscedasticity with Estimates of the Variance of
United Kingdom Inflation,” Econometrica, 50: 987-1007.
25. Engle, Robert F. and Kenneth F. Kroner. (1995)
“Multivariate Simultaneous Generalized Arch,”
Econometric Theory, Vol. 11, No. 1, 122-150
26. Engle, Robert F. and Kevin Sheppard (2001) “Theoretical
and Empirical properties of Dynamic Conditional
Correlation Multivariate GARCH, ” NBER Working Papers
8554, National Bureau of Economic Research
27. Engle, Robert (2002) “Dynamic Conditional Correlation: A
Simple Class of Multivariate Generalized Autoregressive
Conditional Heteroskedasticity Models, ” Journal of
Business & Economic Statistics 20, 339-350.
28. Glascock, J. L., D. Michayluk and K. Neuhauser. (2004)
“The Riskiness of REITs Surrounding the October 1997
Stock Market Decline,” Journal of Real Estate Finance
and Economics, 28(4): 339-354
29. Gentry, William M., C. Jones and C. Mayer (2004) “REIT
Reversion: Stock Price Adjustments to Fundamental
Value,” Working Paper, Columbia University
30. Lee, Charles M. C., Andrei Shleifer, and Richard H.
Thaler (1990) “Anomalies: Closed-End Fund Mutual
Funds.” Journal of Economic Perspectives 4.4, 154-64.
31. Lee, Charles M. C., Andrei Shleifer, and Richard H.
Thaler (1991) “Investor Sentiment and the Closed-End
Fund Puzzle.” Journal of Finance, 66.1, 75-109
32. Lin Crystal Yan, Hamid Rahman and Kenneth Yung (2009)
“Investor Sentiment and REIT Returns,” Journal of Real
Estate Finance and Economics, Vol.39, Number 4, 450-471.
33. Pontiff, Jeffrey (1997) “Excess volatility and closed-
end funds,”The American Review, Vol.87, No.1, 155-169
34. Patel, Kanak, Ricardo A. M. G. Pereira and Kirill V.
Zavodov (2009) “Mean Reversion in REITs Discount to
NAV,” Journal of Real Estate Finance and Economics DOI
10.1007
35. Sims, Christopher A. (1980) “Macroeconomics and reality,
”Econometrica, 48(1), 1-48
36. Silverio, Foresi & Liuren Wu (2005) “Crash-o-Phobia:A
Domestic Fear or a Worldwide Concern?” Journal of
Derivatives, Vol. 13, No. 2, 8-21
37. Sung Yong Park, Sang Young Jei (2010) “Estimation and
Hedging Effectiveness of Time-varying Hedge
Ratio:Flexible Bivariate GARCH Approachs,”Journal of
Futures Markets, Vol.30, No.1, 71-99
38. Whaley, Robert E. (2000) “The Investor Fear Gauge,”
Journal of Portfolio Management, Vol. 26, No. 3, 12-17
39. Zweig, Martin E. (1973) “An Investor Expectations Stock
Price Predictive Model Using Closed-end Fund Premiums,”
Journal of Finance 28,67-87
描述 碩士
國立政治大學
財務管理研究所
99357004
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357004
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 沈容光zh_TW
dc.creator (作者) 沈容光zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:14:01 (UTC+8)-
dc.date.available 30-Oct-2012 10:14:01 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:14:01 (UTC+8)-
dc.identifier (Other Identifiers) G0099357004en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54177-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 99357004zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 早期國外學者指出不動產投資信託基金具有「低風險」與「防禦性」的特質，簡稱為「抗跌性」與「反槓桿效果」，亦即除了與大盤相關性較低之外，市場的負向衝擊對於其報酬的影響比正向衝擊來的小。為了瞭解台灣不動產投資信託基金的價格是否存在過度恐慌，本文分成兩部分著眼：過去的研究大都著手在不動產投資信託基金的價格上，而忽略其為封閉型基金的特性，故本文先從「封閉型基金」角度，以因素分析擷取其共同因子，再利用BGARCH模型，探討共同因子與台灣VIX指數變化間是否存在不對稱效果。第二則是將不動產投資信託基金折溢價進行拆解，分為價格與資產淨值，運用相同方式重新觀察反槓桿效果，探討台灣不動產投資信託基金的價格是否存在過度恐慌。
本研究得到一些與過去文獻不同的結論：
1.若市場出現正向或是負向衝擊，台灣不動產投資信託基金折溢價的波動會上升， 且過去的衝擊持續性強，反應財務資料呈現的波動叢集性。
2.不動產投資信託基金價格具有「槓桿效果」，市場的負向衝擊會額外增加報酬的波動，並無防禦性特質。
3.REITs價格與台灣VIX指數變動具有顯著相關，而資產淨值則無此現象，證明台灣不動產投資信託基金價格相對於資產淨值存在過度恐慌的現象。		zh_TW
dc.description.tableofcontents 第壹章 緒論…………………………………………………………………………………………4
第一節 研究背景…………………………………………………………………………………4
第二節 研究動機與目的……………………………………………………………………7
第三節 論文架構與研究流程……………………………………………………………11

第貳章 文獻回顧…………………………………………………………………………………12
第一節 REITs與封閉型基金相關文獻回顧…………………………………12
第二節 波動度指數VIX的資訊內涵………………………………………………21
第三節 GARCH模型回顧……………………………………………………………………22

第参章 研究方法…………………………………………………………………………………28
第一節 因素分析…………………………………………………………………………………28
第二節 Augmented Dickey-Fuller（ADF）檢定……………30
第三節 不對稱BGARCH模型……………………………………………………………31
第四節 模型比較準則…………………………………………………………………………34

第肆章 實證分析與結果……………………………………………………………………35
第一節 資料選取說明…………………………………………………………………………35
第二節 實證結果…………………………………………………………………………………45

第伍章 結論…………………………………………………………………………………………65

參考文獻…………………………………………………………………………………………………67
附件一 台灣8檔REITs簡介……………………………………………………………71		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357004en_US
dc.subject (關鍵詞) 不動產投資信託基金zh_TW
dc.subject (關鍵詞) 恐慌指數zh_TW
dc.subject (關鍵詞) 槓桿效果zh_TW
dc.subject (關鍵詞) 抗跌性zh_TW
dc.title (題名) 台灣不動產投資信託基金的價格是否存在過度恐慌？zh_TW
dc.title (題名) Does the price of REITs in Taiwan exist excess fear?en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. 陳順宇，多變量分析，四版，民國94年，華泰文化公司出版
2. 楊奕農，時間序列分析 ─ 經濟與財務上之應用，二版，民國98年，雙葉書廊有
限公司
3. 陳旭昇，時間序列分析 ─ 總體經濟與財務金融之應用，民國98年，台灣東華書
局
4. Tsay, Ruey S.(2005) Analysis of Financial Time Series,
Wiley Series in Probability and Statistics
5. 蔡怡純、陳明吉，“台北地區不動產價格波動不對稱性探討”，中華民國住宅學
會學報，民國九十七年十二月，第十七卷第二期，1-11頁
6. 王健安、張金鶚，“臺灣 REITs 與 REATs 發行個案之典型事實分析”，臺灣
銀行季刊，民國九十八年十二月，第六十卷第四期，169-223頁
7. 許君毅，“風險觀點下探討台灣 REITs 的關聯性分析- 結合主成份分析法之
實證”，會計與財金研究，民國九十九年一月，第三卷第一期，55-71頁
8. 蔡怡純、胥愛琦、陳明吉，“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，民國九十九年七月，第六卷第二期， 271-298頁
9. 蔡怡純，“台灣不動產投資信託基金之抗跌與風險特性”，中華民國住宅學會學
報，民國一百年六月，第二十卷第一期，25-58頁
10. 蔡怡純、陳明吉、張光亮，“台灣不動產投資信託基金具有防禦性嗎？”，證券
市場發展季刊，民國一百年，第二十三卷第三期，199-224.頁
11. Anderson Seth, T. R. Beard, H. Kim and L. V. Stern
(2011) “Fear and Closed-End Fund Discounts: Investor
Sentiment revisited, ” Journal of Economic Literature,
C32, G01, G12
12. Agyei-Ampomah, S. and J. R. Davies (2005) “Excess
Volatility and UK Investment Trusts, ” Journal of
Business Finance & Accounting, Vol. 32, Nos. 5 & 6 ,
1033–62
13. Boudreaux, Kenneth J (1973) “Discounts and Premiums on
Closed-End Mutual Funds: A Study in Valuation,” The
Journal of Finance, Vol. 28, No. 2
14. Black, F. (1976) “Studies in Stock Price Volatility
Changes,” Proceedings of the 1976 Business Meeting of
the Business and Economics Statistics Section, American
Statistical Association, 177-181
15. Bollerslev, T.(1986) “Generalized Autoregressive
Conditional Heteroskedasticity,” Journal of
Econometrics, 31: 307-328.
16. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988),
“A Capital Asset Pricing Model with Time-Varying
Covariances”, Journal of Political Economy, 96, 116-131
17. Bollerslev, T. (1990) “Modelling the Coherence in Short-
Run Nominal Exchange Rate: A Multivariate Generalized
ARCH Approach,” Review of Economics and Statistic, 72,
498-505
18. Barkham, R., and Ward, C. W.(1999) “Investor sentiment
and noise traders: discount to net asset value in listed
property companies in the UK.,” Journal of Real Estate
Research, 18(2), 291 – 312.
19. Chan, K.C. Patric H. Hendershott, and Anthony B. Sanders
(1990) “Risk and Return on Real Estate: Evidence from
Equity REITs,” Working paper, National Bureau of
Economic Research
20. Chen Nai-Fu, Kan R. and Merton H. Miller (1993) “Are the
Discounts on Closed-End Funds a Sentiment Index,”Journal
of Finance, Vol. 48, No. 2, 795-800
21. Capozza, D. and S. Lee (1995) “Property Type, Size and
REIT Value,” Journal of Real Estate Research, 10, 363-
379.
22. Clayton, J., MacKinnon, G. (2001) “Explaining the
discount to NAV in REIT pricing: Noise or information?
,” Working Paper, RERI
23. De Long, J. Bradford, Andrei Shleifer, Larrence H.
Summers and Richard J. Waldman (1990) “Noise Trader Risk
in Financial Markets.” Journal of Political Economy 98,
703-738.
24. Engle, Robert F. (1982) “Autoregressive Conditional
Heteroscedasticity with Estimates of the Variance of
United Kingdom Inflation,” Econometrica, 50: 987-1007.
25. Engle, Robert F. and Kenneth F. Kroner. (1995)
“Multivariate Simultaneous Generalized Arch,”
Econometric Theory, Vol. 11, No. 1, 122-150
26. Engle, Robert F. and Kevin Sheppard (2001) “Theoretical
and Empirical properties of Dynamic Conditional
Correlation Multivariate GARCH, ” NBER Working Papers
8554, National Bureau of Economic Research
27. Engle, Robert (2002) “Dynamic Conditional Correlation: A
Simple Class of Multivariate Generalized Autoregressive
Conditional Heteroskedasticity Models, ” Journal of
Business & Economic Statistics 20, 339-350.
28. Glascock, J. L., D. Michayluk and K. Neuhauser. (2004)
“The Riskiness of REITs Surrounding the October 1997
Stock Market Decline,” Journal of Real Estate Finance
and Economics, 28(4): 339-354
29. Gentry, William M., C. Jones and C. Mayer (2004) “REIT
Reversion: Stock Price Adjustments to Fundamental
Value,” Working Paper, Columbia University
30. Lee, Charles M. C., Andrei Shleifer, and Richard H.
Thaler (1990) “Anomalies: Closed-End Fund Mutual
Funds.” Journal of Economic Perspectives 4.4, 154-64.
31. Lee, Charles M. C., Andrei Shleifer, and Richard H.
Thaler (1991) “Investor Sentiment and the Closed-End
Fund Puzzle.” Journal of Finance, 66.1, 75-109
32. Lin Crystal Yan, Hamid Rahman and Kenneth Yung (2009)
“Investor Sentiment and REIT Returns,” Journal of Real
Estate Finance and Economics, Vol.39, Number 4, 450-471.
33. Pontiff, Jeffrey (1997) “Excess volatility and closed-
end funds,”The American Review, Vol.87, No.1, 155-169
34. Patel, Kanak, Ricardo A. M. G. Pereira and Kirill V.
Zavodov (2009) “Mean Reversion in REITs Discount to
NAV,” Journal of Real Estate Finance and Economics DOI
10.1007
35. Sims, Christopher A. (1980) “Macroeconomics and reality,
”Econometrica, 48(1), 1-48
36. Silverio, Foresi & Liuren Wu (2005) “Crash-o-Phobia:A
Domestic Fear or a Worldwide Concern?” Journal of
Derivatives, Vol. 13, No. 2, 8-21
37. Sung Yong Park, Sang Young Jei (2010) “Estimation and
Hedging Effectiveness of Time-varying Hedge
Ratio:Flexible Bivariate GARCH Approachs,”Journal of
Futures Markets, Vol.30, No.1, 71-99
38. Whaley, Robert E. (2000) “The Investor Fear Gauge,”
Journal of Portfolio Management, Vol. 26, No. 3, 12-17
39. Zweig, Martin E. (1973) “An Investor Expectations Stock
Price Predictive Model Using Closed-end Fund Premiums,”
Journal of Finance 28,67-87		zh_TW