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題名：台美不動產投資信託與股價加權指數關聯性之研究－門檻共整合模型之應用
作者：張裕閔
作者(外文)：Yu-min Chang
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：周百隆
學位類別：博士
出版日期：2012
主題關鍵詞：金融海嘯；門檻共整合模式；不動產投資信託；股票市場；Financial Tsunami；Threshold Cointegration Model.；Real Estate Investment Trusts；Stock Market
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摘要
不動產市場已成為投資者關注焦點之一，因為受到政府及法律規定的鼓勵，投資不動產市場有益於經濟發展。不動產投資信託為不動產投資市場中之一環，可提供較佳的流動性及資訊透明度等。不動產投資信託市場與股票市場的關聯為何？一些研究指出它們兩者之間無關係，然而某些研究指出兩者之間存在關聯。本研究意圖分析不動產投資信託市場與股票市場的關聯。本研究對美國及台灣不動產投資信託市場與股票市場間作非對稱及非線性模型的實證分析。
美國權益型及抵押型不動產投資信託市場與股票市場間具有非線性關係存在。美國混合型不動產投資信託市場與股票市場間具有線性關係存在。台灣不動產投資信託市場與股票市場間具有非線性關係存在。美國權益型及抵押型不動產投資信託市場與股票市場間，於金融海嘯前後的關聯具有差異；美國混合型不動產投資信託市場與股票市場間，於金融海嘯前後的關聯不具有差異。台灣不動產投資信託市場與股票市場間，於金融海嘯前後的關聯具有差異。美國權益型、抵押型及混合型不動產投資信託市場走勢會受到股票市場的影響。台灣不動產投資信託市場會受到股票市場的影響。
希冀藉由此研究結果之呈現，可使投資者於不動產投資信託市場與股票市場中預測未來績效，並從兩者市場得到相關財務資訊以達成更佳的資產配置，可提供投資者作為投資決策之參考，以作出較佳的投資決策。
Abstract
Since stocks and real estate are two of the main components of household portfolios, they are likely to catch people’s attention. Particularly, Real Estate Investment Trusts (REITs) are a means of real estate investment that provide good liquidity and good transparency. What is the relationship between the stock and REITs markets? Some studies believe that there is no correlation between these two; while others argue that there should be certain correlation. This study intends to gain an understanding of whether there is correlation between stock markets and REITs markets. This study intends to test the existence of asymmetric and non-linear effects between the REITs markets and stock markets in Taiwan and the U.S. by Vector Error Correction Model (VECM) and Threshold Vector Error Correction Model (TVECM).
Through data analysis, the conclusions are as follows. First, the correlations between REITs markets and stock markets are non-linear in the United States and Taiwan. The correlations between hybrid REITs markets and stock markets are linear in the United States. Second, the correlations between REITs markets and stock markets are different on before financial tsunami and after financial tsunami in the United States and Taiwan. Finally, REITs markets are followed stock markets in the United States and Taiwan.
This study is able to provide a reference to both retail and institutional investors so that they can be armed with more information concerning the timing of investments in the real estate and stock markets in order to make correct decisions.
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