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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116925

    Title: 歐洲不動產投資信託市場報酬之關聯性研究
    Other Titles: The Research of the Relationship in the European REIT Market Returns
    Authors: 白東岳;黃健銘;吳慧瑩
    Keywords: 雙變量GARCH模型;不動產投資信託;利率敏感性;原油價格;Bivarinbies GARCH Model;REIT;Interest Rate Sensitivity;Oil Price
    Date: 2008-12
    Issue Date: 2019-09-10 12:10:46 (UTC+8)
    Publisher: 真理大學財經學院
    Abstract: 本研究目的在於探討原油價格成長對歐洲不動產投資信託(REITs)報酬的影響。樣本國家選定法國與比利時之REITs指數作爲研究標的,實證模型採用雙變量GARCH進行樹則,以探究油價成長對REITs報酬的影響,此外,更進一步分析相近國家彼此間的關聯。於模型中也引入大盤股市報酬率和長短期公債預期利率加以探討。實證結果顯示兩國REIT報酬存在顯著共變異及波動叢聚之特性,且比利時REIT報酬受其法國所影響,反之則不存在。另一方面,兩國REIT報酬對長短期公債率敏感性存在不同的結果;在股市報酬方面,兩國REIT報酬皆與股市呈現正向短期公債預期利顯著影響,最後,在高油價成長期間,爲規避通貨膨脹的衝擊,納入REIT商品將有助於減輕負面的衝擊。
    Relation: 真理財經學報 19, p.31-52
    DOI: 10.29963/TOJEB.200812.0002
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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