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研究生： 蕭凌雲
Hsiao, Ling-Yun
論文名稱： 股市、債市對亞洲不動產投資信託之動態關聯性研究-以台灣、日本、新加坡為例
The Dynamic Relationship among Stock market, Bond Market and Asian REIT market—Evidence of Taiwan, Japan, Singapore
指導教授： 楊澤泉
Yang, Tse-Chuan
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際企業研究所
Institute of International Business
論文出版年： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 56
中文關鍵詞： 殘差變異分解 、衝擊反應 、VAR模型 、不動產投資信託
外文關鍵詞： variance decomposition, impulse response, VAR, REIT
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    • 第一檔REIT在亞洲發行不過是六年前的事，學者們可以擁有的資料較少，因此也很少有關於亞洲市場這三者之間關係的研究。投資人很難去瞭解是否亞洲REIT的特性也像美國REIT一樣，與股市和利率有非常強烈的關係？
    本研究試著去找出亞洲REIT與股市和利率之間的關係。樣本除了台灣本國市場之外，更選取日本與新加坡市場為代表標的。主要利用VAR模型去測試三者之間的關係。結果顯示，台灣、日本、新加坡三國的REIT報酬率與不動產股票指數報酬有較高的正向關係；REIT報酬若有非預期的誤差變異，除了REIT本身解釋力很高之外，台灣大盤指數對於REIT解釋能力會比其他兩國的情況好。利率方面，台灣REIT皆受到長期短期利率影響，有負向關係。新加坡和日本的REIT市場主要受到短期利率影響較大，皆為負向影響。

    The first REIT launched in Asia just six years ago so researchers have less information to study. And there are fewer research papers about the relation within Asia REIT, stock market, and interest rate. Resident investors hardly predict that if Asia REIT return is also affected vary much by stock market and interest rate as USA REIT.
    This paper tries to figure out the relationship within Asia REIT, stock market, and interest rate. In addition to Taiwan, we also choose Japan and Singapore for our representative countries because they issued REIT earlier in Asia. We capitalize VAR model to test relationship within REIT return, stock market return, and interest rate. The results confirm that REIT returns of three countries are positive relative with the return of real estate stock index. Besides, Taiwan REIT is easier negative affected by long term interest rate and short term interest rate, but REIT return in Japan and Singapore are easier negative influenced by short term interest rate.

    Content Chapter 1 Introduction................................1 1.1. Background and Research Motivation............1 1.2 Research Objective............................2 1.3. Flowchart.....................................4 Chapter 2 Literature Review...........................5 2.1. Briefly Introduce REITs Market in Taiwan, Japan, and Singapore...5 2.2. USA Studies...................................6 2.3 Taiwan Studies...................................11 Chapter 3 Methodology and Data.......................12 3.1. Data Source and Sample Selection.............12 3.2 Methodology..................................14 3.3 Hypothesis...................................19 Chapter 4 Empirical Study............................20 4.1 Overview background of issuing REIT..........20 4.4 Briefly Observe REITs Recent Development in Taiwan, Japan, and Singapore...23 4.3 Descriptive Statistics.......................26 4.4 Unit Root Test...............................27 4.5 Granger Causality............................30 4.6 VAR..........................................32 4.4 Impulse response.............................32 4.8 Variance Decomposition.......................37 Chapter 5 Conclusions................................39 5.1 Conclusions..................................39 5.2 Study Limitation.............................41 Refrence.............................................42 Appendix A...........................................44

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