近年來REITs指數價格波動的風險提高,該如何規避REITs指數的價格風險是一重要議題。本研究使用天真避險、最小平方法(OLS)、極小化低偏動差法(LPM)和Diagonal-VECH GARCH(1,1)四種避險模型,探討使用REITs指數期貨的避險績效。結果顯示,澳洲A-REITs指數期貨可以提供約40%的避險績效;日本J-REITs指數期貨平均可以減少44%的現貨價格風險;德國Alstria office REITs期貨則大約有31%的避險績效。然而,交叉避險在每一個國家和每一避險模型之下,其績效表現皆不佳,避險績效甚至小於0,顯示使用其他期貨契約做為避險工具會面臨更大的價格波動風險,進一步強調金融市場發展REITs指數期貨的重要性。 另外在2008年6月30日金融危機前後,A-REITs指數期貨仍然提供有效的避險。在金融海嘯前,使用A-REITs指數期貨可以減少避險投資組合約48%的價格波動風險;然而在金融海嘯期間,由於金融危機是美國次級房貸所致,因此避險績效較差,約為32%,但使用A-REITs指數期貨仍然具有避險效益;在金融海嘯之後,金融市場趨於穩定,避險績效也回升至40%。相較之下,交叉避險策略在這三個子期間的績效表現仍不佳,也就是其他期貨契約仍無法在金融危機發生時提供有效的避險。 整體而言,REITs指數期貨提供最佳的避險績效。避險者可以藉由REITs指數期貨降低持有現貨的價格風險,達到避險者在風險管理策略上風險極小化的目的。為了滿足避險的需求,各國政府應當發展REITs指數期貨,提供投資人最佳的避險策略。
The risk of REITs index has increased in recent year. How to hedge the price risk of REITs index is an important issue. This study used naive hedge, OLS, minimum LPM, and diagonal-VECH GARCH(1,1) to investigate the hedging effectiveness of REITs futures in the Australian, Japanese and German REITs markets. The results showed A-REITs futures provided about 40% hedging performance, J-REITs futures reduced about 44% risk of REITs, and Alstria-REITs lowered about 31% risk. Cross hedging strategies couldn’t be valid means of risk managements. The performances of cross-hedging were less than zero, indicating the investors had over-hedged by futures for stock indices, interest rates and foreign currencies, i.e. investors employing these futures will encounter more price risk. In addition, this study examined the effectiveness of REITs futures when financial crisis occurred in 2008. The results suggested that no matter when the REITs futures provided superior hedging performance in Australian REITs markets and the cross-hedging strategies were invalid. Overall, the findings emphasized the importance of REITs futures. The hedger could reduce the risk of REITs index in hand by employing the REITs futures as hedging implements and achieve the target of minimum risk by risk management strategies.