本研究旨在檢視新加坡與美國REITs市場，從2008年金融風暴後上漲的期間，是否存在從眾行為現象。主要採用CSSD和CSAD兩種衡量方式，利用非線性迴歸進行分析，並加入恐慌指數、利率因子、市場大盤指數等，彙整影響新加坡與美國REITs市場發生從眾行為之原因。 研究資料期間自2009/01/01至2016/11/14，涵蓋金融海嘯後上漲的時期，可作為未來投資人投資時可參考之依據。實證結果顯示： 1. 從眾行為存在顯著的非線性結果，在該期間市場報酬波動劇烈正向與負向的情況下，從眾行為顯著的存在。 2. 美國、新加坡REITs市場在量化寬鬆政策(QE)實施後，市場指數在向上走升的趨勢時，從眾行為更加明顯。 3. 對於新加坡與美國REITs市場在金融海嘯發生後期間，當恐慌指數(VIX)越高也意味者投資人對股市狀況感到不安，從眾行為會更加顯著。 4. 當發生全球股災時，在整體市場下跌造成損失時，從眾行為短期間就會消失。 5. 在兩國市場REITs指數交互作用模型中，新加坡REITs 指數在研究期間報酬率波動，對於美國REITs市場產生從眾行為有顯著影響。 This study investigates the herding behavior of REITs in the Singapore and United States Market during the period after the 2008 financial tsunami. Two measurements to herding behavior, CSSD and CSAD, and non-linear regression model are used in this paper. Moreover, the volatility index, interest rate, S&P500 index, SG-STI index are also added in the model to consolidate the reasons affecting the Singapore and the United States REITs market. The sample period is from 2009/01/01 to 2016/11/14, combining the rising period after the financial tsunami. The conclusions are useful to investors for the future investment. The empirical results are list as follow. 1. Herding behavior has significant nonlinear results. The dispersion would be lower in extreme return conditions, if herding occurs. 2. The market index had risen trends as herding behavior more significant after implementing QE policy to Singapore and United States REITs market. 3. To the Singapore and United States REITs market period after financial tsunami. When volatility index higher means uncertainty of stock market to investor, will make herding behavior more significant. 4. The herding behavior will disappeared shortly when the global stock market crash and the overall market decline caused losses. 5. In the interaction model of Singapore and U.S. REITs index, Singapore REITs return have more significant effect on herding behavior of U.S. REITs market.
