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    Title: 不動產證券化商品之市場風險特性分析
    Other Titles: Analysis for securitized real estate of market risk characteristic
    Authors: 林宜螢;Ling, Yi-Ying
    Contributors: 淡江大學財務金融學系碩士班
    邱建良
    Keywords: 指數股票型基金;不動產證券化商品;EGARCH模型;市場風險;ETFs;Securitized Real Estate;EGARCH model;market risk
    Date: 2013
    Issue Date: 2014-01-23 13:31:25 (UTC+8)
    Abstract: 本研究主要目的在於研究美國不動產證券化市場之市場風險特性行為,隨著金融商品的不斷創新,在研究標的選用上,本文除了選定發展行之多年的REITs商品外,更加入不動產指數ETFs與REITs ETFs等較新穎的不動產證券化相關投資商品,以提供投資人對於美國不動產證券化市場更全面性的分析與參考依據。研究期間為2001年7月31日至2012年10月17日之日資料,在單變量EGARCH模型的基礎下 (Exponential Generalized AutoRegressive Conditional Heteroskedasticity, EGARCH),建立了總體經濟變數以及資本市場變數與各別不動產證券化商品報酬之相關理論架構。此外,更進一步利用雙變量EGARCH模型探討ETFs與其追蹤標的指數報酬之間的動態關聯性與各市場風險變數之間的影響效果。最後,試圖將市場波動度以迴圈方式區分成高、低波動程度去深波動程度上的不同是否也會對於不動產證券化商品報酬與波動的影響有所差異。實證結果顯示兩種ETFs與其追蹤標的指數間報酬與股票市場有著密切顯著關係,可得知股票市場在不動產證券化市場上扮演著重要的角色。此外,不動產證券化商品報酬則與風險溢酬因子呈現正向關係,顯示出不動產證券化商品有著債券的風險特性,反觀在長期利率因子上則有不盡相同的結果,當長期利率隱含著市場對未來通膨的預期時,顯示REIT ETFs與其追蹤的REITs指數則不具抗通膨特性,較屬於一般股票風險特性。而不動產指數ETFs與其追蹤之不動產指數報酬間是存在抗通膨的特性存在,此結果則比較偏向於債券的風險特性。而從市場波動干擾因子來看,則發現兩種ETFs與其追蹤標的指數酬間卻同時兼具了一般股票與債券的風險特性,即便將市場波動度區分成高低程度進行分析,結果仍然相同。
    The purpose of this study is to analyze whether the market risk characteristic of American securitized real estate is more like that common stock or bonds by market risk factors. With the high-speed development of the level of financial products, we have a wide choice form securitized real estate market. For instance, Exchange Traded Funds (ETFs), including the innovation, and the ever more creative traditional versions. Hence, we use daily data of real estate related ETFs returns and REITs returns over the period 31 July 2001 to 17 October 2012 .We establish the theoretical framework by the Exponential Generalized Auto Regressive Conditional Heteroskedasticity (EGARCH) model to analyze market risk characteristic of securitized real estate from examining the effects of macroeconomic variables and capital market factors on securitized real estate returns, and further to separate into the high-level regime and low-level regime market volatility based on loop method. The analysis indicates that the stock market has significantly impact on securitized real estate returns. We believe stock market play an important role in securitized real estate market. We also consider risk premium and long-term interest, the former which measures the trade-off between return and risk is found to be positive and stable in terms of statistical significance for total variables. As far as long-term interest rate imply the expectation of inflation in the future from market investors, the effect of impact from long-term interest were different between two ETFs. The finding indicates that real estate ETFs and their underlying real estate stocks index serve as against hedge inflation effect but REIT ETFs and REITs don’t. In addition, we discover that the risk characteristic of securitized real estate returns gives rise to hybrid types of both common stock and fixed income securities form VIX as proxy market volatility. Even if divide market volatility into a low-level and a high-level regime, the results from the different level risk were also the same.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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