The Interactions of The U.S. Stock Market and The Asia-Pacific Region Stock Markets and REITs
黃文財、賴文魁
E-mail: 9806164@mail.dyu.edu.tw
ABSTRACT
The purpose of this study is in connection with the United States stock market impact the Asia-Pacific region stock markets and REITs (the Asia countries include Japan, Taiwan, Hong Kong, Singapore, South Korea and Australia). This study to select the January 1, 2006 to December 31, 2008 and run Asia-Pacific region in the countries listed REITs merchandise (J-REITs, T-REITs, H-REITs, S-REITs, K-REITs and the A-REITs), and stock index as a study sample, to discuss the interactions of the U.S. stock market and the Asia-Pacific region stock markets and REITs, in order to understand these two financial products.
This study used the E-Views 5.0 and its application of empirical methods. The results show that: the U.S. stock market indeed impact the Asia-Pacific region stock markets and REITs, even through the Asia countries not alike, but the results show the U.S.
stock market has a significant influence for the Asia-Pacific region stock markets and REITs.
Keywords : REITs、stock market、VECM
Table of Contents
中文摘要 ．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．．．．．．． iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．． v 內容目錄 ．．．．．．．．．．．．．．．．．．．．． vi 表目錄 ．．．．．．．．．．．．．．．．．．．．． viii 圖目錄 ．．．．．．．．．．．．．．．．．．．．． x 第一章 緒論．．．．．．．．．．．．．．．．．．． 1 第一節 研究背景與動機．．．．．．．．．．．． 1
第二節 研究目的．．．．．．．．．．．．．．． 2 第三節 研究流程與架構．．．．．．．．．．．． 3
第二章 文獻探討．．．．．．．．．．．．．．．．． 5 第一節 美國與亞太地區REITs之沿革．．．．．． 5
第二節 國際股市連動性研究．．．．．．．．．． 11 第三節 REITs 與股票市場關聯性之相關文獻．．． 17
第三章 研究方法．．．．．．．．．．．．．．．．． 24 第一節 資料來源及樣本之選取．．．．．．．．． 24 第二節 變數的選取及變數操作型定義．．．．．． 28 第三節 實證模型之建構．．．．．．．．．．．． 29
第四章 實證結果分析．．．．．．．．．．．．．．． 38 第一節 單根檢定．．．．．．．．．．．．．．． 38 第二節 VAR 檢定．．．．．．．．．．．．．． 39 第三節 共整合檢定．．．．．．．．．．．．．． 41 第四節 誤差修正模型檢定．．．．．．．．．．． 44 第五節 因果關係檢定．．．．．．．．．．．．． 63 第五章 結論與建議．．．．．．．．．．．．．．．． 74 第一節 研究結論．．．．．．．．．．．．．．． 74 第二節 研究建議．．．．．．．．．．．．．．． 78
參考文獻 ．．．．．．．．．．．．．．．．．．．．． 80 附錄 各國上市REITs表．．．．．．．．．．．．． 87 REFERENCES
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