風險觀點下探討台灣REITs的關聯性分析－結合主成份分析法之實證

The Study on the Risk of Real Estate Investment Trusts (REITs)-Principal Component Analysis, PCA

許君毅(Jiun-Yi Shiu) ； 陳政毅(Cheng-Yi Chen)

《會計與財金研究》 3卷1期 (2010/01) Pp. 55-71

https://doi.org/10.6735/JAFD.201001_3(1).0004

摘要

2008年美國次級房貸風暴爆發，造成全球金融機構產生了巨大的危機。資產證券化是希望將巨大的風險，藉由具有能力的投資者來共同承擔，但移轉風險並不代表風險將消失或減少，而是使風險分散於各種型態進行變化，由此，證券化風險管理更加受到重視。 不動產證券化(Real Estate Investment Trusts, REITs)自1960年發展迄今，在國內外探討有關REITs風險研究，多以單一或複數風險因子進行REITs關聯性研究。本研究首度以(Hotelling, 1933)提出的主成份分析法(Principal Component Analysis, PCA)來探討台灣REITs與其各風險因子的關聯性。研究期間為2000年1月1日至2007年12月31日，並採用時間序列方法進行分析。研究結論指出，影響REITs的風險指標為利率風險指標、股匯風險指標及不動產風險指標，且指標之三因子和REITs存在長期均衡關係；並輔以以Granger因果關係，發現REITs領先股匯風險指標走勢；進一步以衝擊反應分析觀察，相較於其他風險指標，股匯風險指標的衝擊對REITs有著重大衝擊效果，且影響十期後才具穩定；另一方面，REITs風險指標的衝擊除對自身衝擊有著重大效果外，其他風險指標受到影響較小。 綜合以上結論，在商業不動產REITs研究中；對投資者而言，REITs可做為股匯領先觀察指標之一。另外，金融機構在對REITs商品風險評估時，股匯風險應給予較高風險乘數，並在前十期加強控管，以利增加REITs的穩定性，進而提升金融機構整體營運績效。

關鍵字

REITs ； 風險 ； 主成份分析 ； 衝擊反應分析

並列摘要

In 2008, The Sub-prime Storm erupts in American. To cause financial institution have result a huge crisis in the world. By securitization, we hope to disperse great risk and to shoulder together by investors who have ability. But risk transfer does not stand for cancel or loss. It makes risk to disperse varied. So, Securitization risk management paid much attention.
Real Estate Investment Trusts developed from 1960 to this day. The research related to REITs risk in the world. We found there was many investigate whom relationship between REITs and risk use single or multiple risk variables. We tested the relationship between REITs and risk and used Principal Component Analysis firstly. The research period from 2000.1 to 2007.12.While using time series to analyses this problem. In conclusion, there are three risks index to affect REITs, rate risk index, stock exchange index and real estate index. And we found REITs have long relationship with this three-risk index. In granger test, we found REITs is ahead of the stock exchange index. And then we used Impulse Response to get stock exchange index had a huge influence to REITs, while to eight period became stabile. At the same time, REITs risk index strike have great effects by itself, other risk index got lower effect.
Combined above conclusion, for the investors, they could use REITs to take the lead the stock exchange index. And when financial institution evaluated the REITs goods, stock exchange risk had to offer a higher risk multiplier, at the same time, keeping risk management in front the eight periods. Make sure to add the stability to REITs. To promote financial institution the whole operating results.

並列關鍵字

REITs ； Risk ； PCA ； Impulse Response

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