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    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31464

    題名: Volatility forecasting and characteristics of equity reits
    其他題名: 權益型不動產投資信託波動性預測與特性
    作者: 黃聖志;Huang, Sheng-shih
    貢獻者: 淡江大學財務金融學系博士班
    邱建良;Chiu, Chien-liang
    關鍵詞: 波動性;權益型不動產投資信託;WCARR模型;ARJI模型;GJR-ARJI 模型;超額報酬;變幅;Volatility;Equity REITs;WCARR Model;ARJI Model;GJR-ARJI Model;Excess Return;Range
    日期: 2009
    上傳時間: 2010-01-11 00:45:43 (UTC+8)
    摘要: 本論文著重於權益型不動產投資信託波動性預測與特性,共包含三個部份。第一部份為「美國權益型不動產投資信託之波動性預測」、第二部份為「權益型不動產投資信託與股市、利率之敏感性」與第三部份為「權益型不動產投資信託風險溢酬與不對稱波動性」。將此三部份的內容簡述如下。
    第三部份本文使用GJR-ARJI模型去檢驗美國、澳洲與日本權益型不動產投資信託之超額報酬與市場投資組合之超額報酬。實證結果簡述如下: 1.權益型不動產投資信託之超額報酬與市場風險溢酬呈現相同方向關係。其隱含基於權益型不動產投資信託多樣化之特性權益型不動產投資信託指數與股票指數呈正相關。我們建議一個理性投資人在股市過熱時選擇權益型不動產投資信託指數諸如基金或債券避險。2.本文發現基於過去好消息和壞消息衝擊造成不對稱效果。實證結果證明權益型不動產投資信託超額報酬與市場風險溢酬皆存在高度之波動性叢聚現象。因此,本文建議使用GJR-ARJI模型去捕捉與理解美國、澳洲與日本權益型不動產投資信託之超額報酬特性與避免不正確的財務與經濟之決定。
    The purpose of this dissertation is to contribute to the literature on volatility forecasting and characteristics of Equity REITs which comprises three parts. The first part is entitled “Forecasting Volatilities for U.S. Equity REITs”, the second part is named “Stock and Interest Rate Sensitivity of Equity REITs”, and the last one is “Risk Premium and Asymmetric Volatility of Equity REITs”.
    A brief introduction of these three parts can be summarized as follows: The first part compares the WCARRX model with the ECARRX model in forecasting financial volatilities for U.S. Equity REITs. The empirical results are summarized as follows. First, we indicate the persistence of range shocks that U.S. Equity REITs data seem to support a Weibull alternative over the null of an exponential distribution. Secondly, this dissertation investigates that the long-run interest rate and stock market have positive shock with the U.S. Equity REITs. Furthermore, this dissertation finds that there is not statistically significant in the case of the West Texas crude oil Index, which implies that the U.S. EREITs do not represent effective inflation hedges. Third, out-of-sample volatility forecasts give rise to almost unanimous support for the WCARRX model over the ECARRX model. As a result of the above forecast evaluations, it is obvious that the WCARRX model does provide sharper volatility forecasts than the ECARRX model.
    In the second, the main study of this dissertation uses the ARJI model to examine the U.S. and Japan EREITs markets, which with the dynamic analysis of stock and long-term and short-term interest rate sensitivity. The empirical results have summarized as follows. First, our results show that there exists a positive correlation between the target EREITs returns and the market index. This implies that EREITs behave more like common stocks (small stocks) than the underlying real estate or bond. Furthermore, the results show that REITs, in particular EREITs, offer investors good diversification benefits. Secondly, this dissertation finds a positive correlation between the target EREITs returns and the yield of 10-year Treasury notes in recent years. This implies that an increase in interest rates may reflect stronger economics growth, higher inflationary expectations, and upward pressure on real estate prices. Third, this dissertation finds that there is not statistically significant between the target EREITs returns and the yield of 3-month T-bills. Finally, empirical results demonstrate that the return of U.S. EREITs and Japan EREITs indices have highly volatility clustering phenomenon.
    The last part utilizes the GJR-ARJI model to examine the daily excess returns of the EREITs index and the daily excess returns of market portfolios in the U.S., Australia and Japan EREITs indices. The empirical results have summarized as follows. First, the excess EREITs returns and the market risk premium are related in that they move in the same direction. This implies that the international EREIT indices and stock indices are positive correlated based on the EREITs’ diversified characteristics. We suggest that a relational investor can choose a REIT index to replace an overreacting stock index such as a hedge fund or a bond. Secondly, this dissertation finds evidence of a strong asymmetric effect with respect to the impact of past good and bad news. The empirical results demonstrate that the excess EREIT returns and market risk premium exhibit jump phenomena. Hence, this study suggests using the GJR-ARJI model investigate the excess return concept to capture and comprehend the true features of the EREITs for the U.S., Australia and Japan, and thus avoids incorrect financial and economic decisions.
    顯示於類別:[財務金融學系暨研究所] 學位論文


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