An empirical investigation of relationship between REITs reture and stock reture : case of USA and Japan
Nguyen Duc Hanh、陳美玲
E-mail: 317705@mail.dyu.edu.tw
ABSTRACT
The main purpose of this study is to explore the relationship between RETI return and Stock market return in United States and Japan. By employing the Granger Causal-ity test to exam the causality between REIT return and Stock market return variables in United States and Japan, respectively. Next, we are applied Ordinary Least Square test to investigate the long-term relationship between REIT return and Stock market return in United States and Japan, respectively. Moreover, VAR model and Impulse Response Function used to investigate the relationship between REIT return and Stock return in short-term and provide the result from a shock to the variables in the system. Our empirical results find that REIT return cause in Stock market return in both countries but it is not true in vice versa. Therefore, investor can rely on the past per-formance of stock return to predict the behavior of REIT return in both countries. Fur-thermore, the results of Ordinary Least Square test reveal that exist the long-term
rela-tionship between REIT return and Stock return in United States and Japan, while we also found a positive relationship between Japan REIT return and United States stock return. Finally, Impulse Response Function results reveals that the response to shock of United States stock return is stronger and longer than Japan stock return.
Keywords : REIT return、stock return、Granger causality、VAR model、impulse response function Table of Contents
中文摘要 ．．．．．．．．．．．．．．．．．．．．．．． iii Abstract ．．．．．．．．．．．．．．．．．．．．
．． iv Acknowledgement ．．．．．．．．．．．．．．．．．．． v Content ．．．．．．．．．．．．．．．．．．
．．． vi Table ．．．．．．．．．．．．．．．．．．．．．．． viii Figure ．．．．．．．．．．．．．．．．
．．．．．． ix Chapter 1 Introduction ．．．．．．．．．．．．．．．．．． 1 1.1 Background and Motivation．．
．．．．．．．．． 1 1.2 Objectives．．．．．．．．．．．．．．．．．． 6 1.3 Chapter outline．．．．．．．．
．．．．．．．． 6 Chapter 2 Literature Review．．．．．．．．．．．．．．．．． 8 2.1 The relationship between REIT return and Stock return．．．．．．．．．．．．．．．．． 8 Chapter 3 Data Description and
Methodology．．．．．．．． 12 3.1 Data Description ．．．．．．．．．．．．．．．． 12 3.2
Methodology ．．．．．．．．．．．．．．．．． 13 Chapter 4 Empirical Results．．．．．．．．．．．．．．． 22 4.1 Descriptive statistics ．．．．．．．．．．．．．．．． 22 4.2 ARCH tests ．．．．．．．．．．．
．．．．． 25 4.3 Unit Root Test ．．．．．．．．．．．．．．．． 26 4.4 Granger Causality Test ．．
．．．．．．．．．． 27 4.5 Ordinary Least Square Test ．．．．．．．．．．．． 29 4.6 Vector
Autoregressive Model Test ．．．．．．．． 30 Chapter 5 Conclusion and Suggestions．．．．．．．．．．． 42 5.1 Conclusion ．．．．．．．．．．．．．．．．． 42 5.2 Suggestions ．．．．．．．．．．．．．．．．．．．
43 Reference ．．．．．．．．．．．．．．．．．．．．．． 44 REFERENCES
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