English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51931/87076 (60%)
Visitors : 8478041      Online Users : 133
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31735

    Title: 不動產投資信託與物價之動態分析-以日本為例
    Other Titles: The dynamic analysis of real estate investment trust and inflation sensitivity - a case study of Japan
    Authors: 陳坤宏;Chen, Kun-hung
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang
    Keywords: 不動產投資信託;通貨膨脹;ARJI模型;REIT;Inflation;ARJI Model
    Date: 2008
    Issue Date: 2010-01-11 01:11:31 (UTC+8)
    Abstract: 本文使用ARJI模型來探討投資於不同類型之不動產標的(住宅大樓與商用及辦公大樓)的REIT個股報酬表現與物價變動虛擬變數、日經225股價指數報酬、美元兌日圓即期匯率變動率、3個月期利率變動、10年期政府公債利率變動之關連。
    In this study , we apply the ARJI model to discuss the return performances of Real Estate Investment Trust(REIT)to the different type (residential building and commercial or office building) among the dummy variable of inflation、the return of Nikki 225 stock index、the return of U.S. dollar to Yen exchange rate、the change of three month interest rate、the change of ten year government bond interest rate.
    The results show that after compartmentalizing REIT into residential building type and commercial or office building type , the dummy variable of inflation has very different results . The residential building type can cope with the damage from inflation , but the commercial or office building type can not do as residential building type . The return of two types REIT do not have significant relationships among the return of Nikki 225 stock index and the return of U.S. dollar to Yen exchange rate in this paper . On the other hand , the return of two types REIT have the negative relationship with the change of short term interest rates , but there is no significant relationship with the change of long term interest rates . Finally , the return of two types REIT have highly volatility clustering phenomenon . Besides , the jump frequency and the jump density are all significant . This implied that the discontinuous jump process is an important factor when discussing the return of REIT .
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback