The Relationship between Oil Price Growth and REIT Returns

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/92685

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/92685

题名:	The Relationship between Oil Price Growth and REIT Returns
作者:	Huang, Chien-Ming;Lee, Yen-Hsien
贡献者:	淡江大學國際企業學系
关键词:	Real estate investment trusts;ARJI model;Oil price;Interest rate sensitive
日期:	2009-11
上传时间:	2013-10-22 10:19:28 (UTC+8)
出版者:	Victoria: EuroJournals
摘要:	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.
關聯:	International Research Journal of Finance and Economics 33, pp.120-133
显示于类别:	[國際企業學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
2.pdf		203Kb	Adobe PDF	942	检视/开启
index.html		0Kb	HTML	241	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章