歐洲不動產投資信託市場報酬之關聯性研究

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)

《真理財經學報》 19期 (2008/12) Pp. 31-52

https://doi.org/10.29963/TOJEB.200812.0002

摘要

本研究目的在於探討原油價格成長對歐洲不動產投資信託(REITs)報酬的影響。樣本國家選定法國與比利時之REITs指數作爲研究標的，實證模型採用雙變量GARCH進行樹則，以探究油價成長對REITs報酬的影響，此外，更進一步分析相近國家彼此間的關聯。於模型中也引入大盤股市報酬率和長短期公債預期利率加以探討。實證結果顯示兩國REIT報酬存在顯著共變異及波動叢聚之特性，且比利時REIT報酬受其法國所影響，反之則不存在。另一方面，兩國REIT報酬對長短期公債率敏感性存在不同的結果；在股市報酬方面，兩國REIT報酬皆與股市呈現正向短期公債預期利顯著影響，最後，在高油價成長期間，爲規避通貨膨脹的衝擊，納入REIT商品將有助於減輕負面的衝擊。

關鍵字

雙變量GARCH模型 ； 不動產投資信託 ； 利率敏感性 ； 原油價格

並列摘要

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.

並列關鍵字

Bivarinbies GARCH Model ； REIT ； Interest Rate Sensitivity ； Oil Price

參考文獻

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