本研究旨在檢視美國不動產投資信託是否存在從眾行為之現象,使用相關的假說進行驗證。首先驗證美國不動產投資信託是否存在顯著的從眾行為,接下來分別就不同總體變數對不動產投資信託從眾行為結果做分析。本文使用2002年1月2日至2007年12月2日定義為金融海嘯前及2007年12月3日至2009年6月30日定義為金融海嘯期間和2009年7月1日至2015年4月30日定義為金融海嘯後等三項資料進行實證分析。實證結果發現,在金融海嘯前後都存在從眾行為並受落後期及REITs波動度的影響;在放入總體變數後,結果顯示在本研究期間總體變數都沒有影響從眾行為的產生,僅在S&P500指數的部分有較顯著的影響關係;最後做REITs的行業類別研究從眾行為中,則得到僅為工業/辦公室(Industrial/office)、住宿/度假村(Lodging/resorts)、住宅(Residential)及專業、木材和自存(Others)在加入落後期後結果較為穩定的結果。
This study investigates the herding behavior in the American Real Estate Investment Trusts (REIT). We examine that whether the herding behavior exists in the REIT market in U.S at first, then analyzing the relationship between herding behavior and macroeconomic variables. The sample period is from January 2, 2002 to April 30, 2015, and the financial period is set from December 3, 2007 to June 30, 2009. The empirical results are: firstly, the herding behavior exists in REITs market in the sample period, though the herding behavior decreases after considering the event of financial crisis. Then, the REITs volatility and lagged term of herding is related to herding behavior. However, the macroeconomic variables are less related to herding behavior in REITs, except the market return of S&P500. Finally, we test for herding effects in each of the REIT sectors, and the stable results appear in the sectors of industrial / office, lodging / resorts , residential and Others.