| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 蔡怡純;胥愛琦;陳明吉 | zh_TW |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 14-Nov-2014 18:23:45 (UTC+8) | - |
| dc.date.available | 14-Nov-2014 18:23:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2014 18:23:45 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71495 | - |
| dc.description.abstract (摘要) | 全球性的股票型基金和不動產投資信託基金 (Real Estate Investment Trusts, REITs) 因著2006年前亞洲市場的優異表現，在2006年底及2007年初大幅轉進亞洲市場，這樣的同步轉向是否會增加亞洲各國兩市場的共變性，進而造成REITs市場的風險增加呢？本篇研究利用多變量GARCH模型，分別估計日本、新加坡、馬來西亞、香港、台灣、泰國，這些亞洲REITs市場其與該國股市之間的相關。結果發現，不管各國的REITs市場是由何時開始，在2007年後，其與股市的條件共變異數都大幅的增加，進而造成了該REITs市場的系統性風險增加。這樣的結果不僅增加了股市下跌時，REITs市場的連動性，同樣的也降低了REITs最大的優勢：抗跌性，使得亞洲市場的REITs離防禦型股票的特性愈來愈遠。本文的結果希望能提供給投資人做為參考，當他們因著市場的熱潮欲介入市場時，需對風險重新做一番評估，因為當其他投資人亦是如此時，可能已造成資產的屬性改變，風險增加了。 | en_US |
| dc.description.abstract (摘要) | In 2007, a number of stock funds and Real Estate Investment Trusts (REITs) tended to invest in Asian markets due to their outstanding performance during the period prior to 2006. However, can this move increase the covariate between the stock and REIT markets in Asian markets as well as further increase the risk in REIT markets? To address this, the research uses the multivariate GARCH model to estimate the correlation between the stock and the REIT markets in Japan, Singapore, Malaysia, Hong Kong, Taiwan, and Thailand separately. The empirical results show that the correlations between the REITs and stock markets all increased in these areas after 2007. This phenomenon shows that the advantage of REITs is disappearing in Asian markets. Our results seek to provide useful advice for investors, with our recommendation that investors need to reexamine the risk when they want to enter a market due to its outstanding performance, since the risk feature of the market may have changed after other investors have also chased the returns. | en_US |
| dc.format.extent | 396838 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 經濟與管理論叢, 6(2), 271-298 | en_US |
| dc.subject (關鍵詞) | 報酬追逐;共變異數;系統性風險;亞洲市場 | en_US |
| dc.subject (關鍵詞) | returns-chasing;covariance;systematic risk;Asian markets | en_US |
| dc.title (題名) | 不動產投資信託基金變得更危險了嗎? 亞洲市場實證研究 | zh_TW |
| dc.type (資料類型) | article | en |
