不動產的實體投資需要大量的資金,一般不易直接參與,而不動產股票及不動產證券化商品,使一般投資人得以有價證券方式投資不動產。一方面降低了不動產的投資門檻,另一方面亦促進直接持有不動產的資金流動性。雖然投資型態不同,但皆以不動產為基礎,因此對產業環境的變化應有相同的反應。以市場效率的觀點,證券化市場因具有較低交易成本與較高流動性,其對市場訊息反映效率較快,多被認為具有領先實質產業活動及促進訊息揭露的功能。由於不動產交易訊息的揭露相對較低,若能了解市場之間的關聯性,將有助於訊息不透明對投資決策的影響。 本文以REITs、營建股與台北市商辦市場為研究標的,並利用Granger因果關係檢定探討2006第一季至2010第四季期間,直接與間接不動產市場的關聯性與訊息傳遞關係。實證結果顯示,REITs落後於直接市場5個季度,不具有領先指標的效果;而營建股則領先於直接市場2個季度。可能是因為REITs的主要收益來自租金,因此租金表現的落後影響投資人對REITs發展的預期。另外,商辦市場多由專業的投資人在非公開市場進行交易,加深了不動產資訊的不對稱,而影響投資人對REITs價格的評估。然而,就檢定結果的顯著性而言,REITs較營建股貼近直接不動產市場。可能是營建業上市公司的推案是以住宅為主,而且營建股與股市的相關性更高,受到股市景氣波動的影響比REITs大,因此導致營建股與直接市場的關聯性較低。
Generally, real estate is difficult to invest directly because it requires large funding. While the indirect markets such as real estate stocks and real estate securitization enable investors to participate the real estate investment easily. Even though the investment types are different, the direct and indirect markets both are based on property. As a result, the movements should have the same reactions. According to the concept of market efficiency, the securitization markets have the lower transaction costs and higher liquidity which are able to reflect the market information quickly. For this reason, indirect market is considered to be a leading indicator in the industrial activities. This research focus on the analysis and comparison of REITs, construction stocks and Taipei commercial office market in their relevance and information transmission, from first quarter in 2006 to fourth quarter in 2010, with Granger causality test. The result shows that REITs could not be a leading indicator because it lagged behind the direct market five quarters; while, construction stocks led the direct market two quarters. In terms of the significant of Granger causality test, the direct market is closer to REITs than construction stocks.