Translated Titles

The Research of the Relationship in the European REIT Market Returns




白東岳(Tung-Yueh Pai);黃健銘(Chien-Ming Huang);吳慧瑩(Hui-Ying Wu)

Key Words

雙變量GARCH模型 ; 不動產投資信託 ; 利率敏感性 ; 原油價格 ; Bivarinbies GARCH Model ; REIT ; Interest Rate Sensitivity ; Oil Price



Volume or Term/Year and Month of Publication

19期(2008 / 12 / 01)

Page #

31 - 52

Content Language


Chinese Abstract


English Abstract

This study aims at examining the impact of oil price growth on the European REIT markets. Sample countries select the REIT indices of Belgium and France, and empirical model adopts the bivariables GARCH model. Additionally, we further analyze the association of neighboring country. To isolate other effects, this study also considers some important variables such as stock market returns and the expected interest rate of long-short term government bond. Our overall results show that REIT returns in two countries have significantly covariance and volatility clustering characteristic, and REIT returns in Belguim is affected by neighboring country, but not in Franch. On the other hand, the interest rate sensitivity of two countries present different results. En stock market return, two countries have a significantly positive effects. Finally, REITs provide hedged function to avoid the shocks in inflation during the period of highly oil price growth.

Topic Category 社會科學 > 經濟學
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