自第一檔REITs富邦一號2005年3月10日上市起，台灣即邁入不動產證券化時代。REITs結合不動產市場與股票市場，投資者不再需要以巨額資金才能參與不動產市場，透過證券化的方式將投資金額細小化，並可於公開市場上靈活買賣，以達分散投資組合效果；亦活絡不動產市場，讓不動產業者可活化資產取得資金。 本研究主要探討總體經濟因素(CPI、利率、匯率等)及股票市場對REITs股價的影響及彼此間之連動性，並分析目前市場上八檔REITs之股價表現；經由文獻探討及發展相關假說，再以多元迴歸模型及VAR模型統計方法對於樣本資料進行驗證。 經由本研究多元迴歸模型實證發現，台幣的升值，有裨益於REITs價格的提升，而台幣的升值有可能源自於外資對台灣房地產商辦的看好；此外由Granger因果關係檢定可得知，營建股股價領先REITs股價的走勢，亦為當營建類股走強時，REITs類股也會為之水漲船高，此外金控發行REITs表現亦優於非其他REITs的表現，此有可能金控機構拿出來信託的標的物較為優質所致。 Taiwan has stepped into the era of the Real Estate Investment Trust,since Fubon No.1 REITs launched on March 10,2005.REITs connects the market of real estate and stock, so the investors no longer need to spend large capital just to participate in the real estate market. Through securitize to detail to investment, and sell in public to decentralize the package. As well the benefit will be to vitalize the real estate market and their capital. This research is mainly to discuss the factors of Macroeconomic(CPI,interest rates,and exchange rates…etc.) and the influences between stock and the prices of REITs and related to each other. It also analyses the performance of current 8 REITs funds in the market. By way of the documentary report and development market hypothesis, again carries on the confirmation by multiple regression model and VAR model to test and prove the sample material. Prove by this research, the revaluation of Taiwan Dollar is advantageous to raise up the REITs prices. And the revaluation could be come from the prospect ion of global investment to the local real estate market. Besides, Granger Casuality has demonstrated the prices of construction group that has got ahead of REITs prices,and whenever it goes up, REITs will be lifted up at the same time.Moreover, REITs issued by Financial Holding is performed better than other issuers.Maybe the reason is the Financial Holding operated the higher quality targets as the trust objects than others.
