An Exploration of Correlations Between Returns of Real Estate and Investment Products - The Case of United States and Ja
林志堯、陳美玲
E-mail: 9806457@mail.dyu.edu.tw
ABSTRACT
This research is to study the linkages of price information exchange among REITs, stock, and bond market. The researcher chose America and Japan as the representative market of REITs and used the data collected during 2005 to 2008, covering the discussion of volatility clustering, Volatility Asymmetry, Volatility and Volatility Asymmetry transmission, risk premium, Multivariate model as the setting of GJR GARCH-M model in order to further specify the dynamics among both America and Japan markets.
The empirical result has revealed that REITs, stock and bond, and stock profit re-turns from America and Japan market are positive correlated, meaning that they are to some degree impacted the price of both stock market. In the aspect of the Volatility
transmission, if the REITs of America and Japan market is positive correlated with bond market, the more the fluctuation from REITs market, the stronger the fluctuation of the bond market. On the contrary, if they are negative correlated, the market is considered either overreacted or insufficient information. Moreover, it also further explained that the higher the risk of fluctuation, the higher the risk in risk premium.
In addition to the obvious volatility clustering existed between REITs, stock, and bond market in America and Japan, within the Volatility Asymmetry, it also revealed significant result, explaining that the worsening of the previous market situation will strengthen the present market fluctuation.
The estimation of Volatility Asymmetry transmission of REITs and stock market in America and Japan has reached certain level of standard. This explained that the wor-sening of REITs market exhibited greater cross market volatility asymmetry transmission when compared to the soaring of REITs market. Finally, coming to the correlation variance of REITs, stock, and bond market in America and Japan, due to REITs shares the property of stock and bond, the profit return or fluctuation estimation also revealed high correlation. Conclusively, if the investor take three of them into portfolio combination, it will be difficult to hedge the risk.
The research result shows: Taiwan is the horizontal of glass industry clusters. And China is classified in the vertical of glass industry clusters. The glass industry clusters in Taiwan are related to Business competitive advantage obviously. On the contrary, the glass industry clusters in China with Business competitive advantage have reverse rela-tion.
Keywords : REITs、GJR GARCH-M、volatility clustering、volatility asymmetry transmission Table of Contents
中文摘要 ．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．．．．．．． iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．． vi 內容目錄 ．．．．．．．．．．．．．．．．．．．．． vii 表目錄 ．．．．．．．．．．．．．．．．．．．．． ix 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．．．．．．．．．．．．．．． 6 第三節 研究流程．．．．．．．．．．．．．．． 7 第四節 研究範圍與限制．．．．．．．．．．．． 7 第二章 文獻回顧．．．．．．．．．．．．．．．．． 9 第一節 不動產投資信託之定義．．．．．．．．． 9 第二節 股票與債券之相關文獻．．．．．．．．． 10 第三節 REITs 與股票之相關文獻．．．．．．．． 10 第四節 REITs 與債券之相關文獻．．．．．．．． 12 第五節 跨市場波動傳導之探討．．．．．．．．． 13 第三章 研究方法．．．．．．．．．．．．．．．．． 15
第一節 資料來源與處理．．．．．．．．．．．． 15 第二節 單根檢定．．．．．．．．．．．．．．． 16 第三節 序列相關及異質性檢定．．．．．．．．． 17 第四節 多元GARCH模型．．．．．．．．．．．． 18 第五節 實證模型．．．．．．．．．．．．．．． 19 第四章 實證結果．．．．．．．．．．．．．．．．． 24 第一節 基本特性．．．．．．．．．．．．．．． 24 第二節 檢定方法與結果．．．．．．．．．．．． 28 第三節 GJR GARCH-M實證模型結果 ．．．．．． 33 第四節 綜合結果說明．．．．．．．．．．．．． 40 第五章 結論與建議．．．．．．．．．．．．．．．． 42 第一節 結論．．．．．．．．．．．．．．．．． 42 第二節 建議．．．．．．．．．．．．．．．．． 43 參考文獻．．．．．．．．．．．．．．．．．．．．．． 44 附錄A 美、日不動產證券化制度之比較．．．．．．． 51 附錄B 美國REITs、股票及債券市場動態關聯證估計結 果表．．．．．．．．．．．．．．．．．．． 52 附錄C 中國大陸問卷．．．．．．．．．．．．．．． 54
表 目 錄
表 4- 1 各類投資商品報酬率之基本敘述統計量．．．．． 27 表 4- 2 各類投資商品報酬率之報酬之單根檢定結果．．． 29 表 4- 3 一階序列相關檢定統計值．．．．．．．．．．． 30 表 4- 4 二階序列相關檢定統計值．．．．．．．．．．． 30 表 4- 5 結構性檢定估計值．．．．．．．．．．．．．． 33 表 4- 6 美國報酬率交互傳導參數估計．．．．．．．．． 34 表 4- 7 日本報酬率交互傳導參數估計．．．．．．．．． 34 表 4- 8 美國波動性之交互傳導參數估計．．．．．．．． 35 表 4- 9 日本波動性之交互傳導參數估計．．．．．．．． 36 表 4-10 產國其他重要變數於條件平均式估計結果．．．． 37 表 4-11 日本其他重要變數於條件平均式估計結果．．．． 37 表 4-12 美國條件變異式估計結果．．．．．．．．．．． 38 表 4-13 日本條件變異式估計結果．．．．．．．．．．． 38 表 4-14 相關係數之估計結果．．．．．．．．．．．．． 39
圖 目 錄
圖 1-1 研究流程．．．．．．．．．．．．．．．．．．． 7 圖 4-1 各類投資商品原始資料走勢圖．．．．．．．．．． 25 圖 4-2 各類投資商品報酬率走勢圖．．．．．．．．．．． 26 圖 4-3 各類投資商品殘差序列相關圖．．．．．．．．．． 32 REFERENCES
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