The Relationship between Oil Price Growth and REIT Returns

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/92685

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/92685

Title:	The Relationship between Oil Price Growth and REIT Returns
Authors:	Huang, Chien-Ming;Lee, Yen-Hsien
Contributors:	淡江大學國際企業學系
Keywords:	Real estate investment trusts;ARJI model;Oil price;Interest rate sensitive
Date:	2009-11
Issue Date:	2013-10-22 10:19:28 (UTC+8)
Publisher:	Victoria: EuroJournals
Abstract:	This investigation adopts the autoregressive conditional jump intensity model proposed by Chan and Maheu (2002) to capture the characteristics of the time-varying and jump phenomena, and investigates the influence of expected- and unexpected crude oil fluctuations on Real Estate Investment Trusts (REITs). Furthermore, this study re-examines the relationship between REIT returns and other markets as bond and stock market. The analytical results reveal that REIT returns rise in response to increase in expected oil price and provide a good partial hedge. However, it also implicates that REIT returns have a downside risk during the period of deflation. Additionally, stock market returns reflect relevant information about REITs or real estate, and REITs are negative sensitivity to changes in interest rates, and are more sensitive in the long term than in the short term.
Relation:	International Research Journal of Finance and Economics 33, pp.120-133
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Description	Size	Format
2.pdf		203Kb	Adobe PDF	942	View/Open
index.html		0Kb	HTML	241	View/Open