本文觀察亞洲四個國家(臺灣、日本、新加坡、香港)以及美國的 REITS(Real Estate Investment Trust)市場,以 CoVaR探討當極端事件發生時,各國 REITs 市場間的相互傳染效應與連動的關係。我們先利用歷史模擬法估計出各國 REITS指數的風險值,再以分量迴歸的方法估計出在不同分位點下各國的 CoVaR及其風險溢出。希望找出在極端事件情況下各國對於其他國家的影響力,當選取不同國家作為條件國,其最受影響的國家也會跟著改變,另外,分別討論全時期(2005/11/25~2014/3/31)與次級房貸發生以後(2007/3/14~2014/3/31),觀察是否在次級房貸發生以後各國關係更加緊密。實證結果顯示,這五個國家間在極端事件發生時皆會互相影響,且影響關係為非對稱。而在美國處於大跌時會比正常情況使台灣平均損失較大,且發現本國最容易受他國影響,而不易影響他國。
This article observe the Real Estate Investment Trust in five countries(Taiwan, Japan, Singapore , Hong Kong, America). To discuss the REITs market’s CoVaR and a contagion effect when extreme events occur. First, we use Historical simulation approach to estimate the REITs index’s VaR. Second, we use the quantile regression to estimate the REITs market’s CoVaR and risk spillover for different quantile. In addition, we intend to develop crossover CoVaR between the REITs markets, to find the impact in other countries when extreme events occur, and select different countries as a condition of the country that the most affected countries will also change. Besides, we discuss the two period (November 2005 to March 2014) and (March 2007 to March 2014), to observe whether the subprime occur after the relations among the countries will be closer. Our empirical results show that the five countries will impact each other during extreme events. In Taiwan REITs market, the top systematic risk contributor of country is America.