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題 名 | 不動產投資信託與股、債、期貨市場之報酬傳遞與波動外溢效果=The Return Transmission Effect and Volatility Spillover Effect between the REITs, Stock, Bond, and Future Markets |
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作 者 | 林惠娜; | 書刊名 | 致理學報 |
卷 期 | 32 2012.11[民101.11] |
頁 次 | 頁33-49 |
分類號 | 562.32 |
關鍵詞 | 外溢效果; 不對稱效果; REITs; EGARCH; Spillover effect; Asymmetrical effect; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究先利用OLS(ordinary least squares)捕捉期貨、利率、股價指數等金融資產之波動,再利用EGARCH(Exponential Generalized Autoregression Conditional Heteroscedasticit) 模型兩階段探討日本股市、債市與不動產投資信託 (Real Estate Investment Trust REITs) 指數期貨之報酬與波動對日本REITs之報酬與風險之影響。分析日本REITs指數與日本REITs指數期貨、股市及債市之間的報酬傳遞與波動外溢效果。結果顯示槓桿效果顯著,顯示對於模型配適良好且好消息與壞消息有不對稱的影響。在報酬傳遞效果方面,REITs指數報酬率受REITs指數落後一期報酬率顯著負面影響,REITs指數期貨、股票報酬率顯著正面影響且對10年公債利率則有不顯著的影響。在波動方面,對於REITs指數期貨、股票市場有波動外溢效果與債市則無顯著外溢效果。本文的實證結果可以給與投資日本REITs市場之投資者參考。 |
英文摘要 | This study first employs OLS (ordinary least squares) to catch the volatility of three different financial assets (future, bond, and stock index), then uses EGARCH (Exponential Generalized Autoregression Conditional Heteroscedasticity) to discuss the impacts of return and volatility of Japanese stock market, bond market, and REITs (Real Estate Investment Trust) future market on Japanese REITs market. The article further analyzes the return transmission effect and spillover effect between Japanese REITs index with Japanese REITs future index, Japanese stock market and Japanese bond market. The results indicate that leverage effect is significant showing that EGARCH model perfectly fits as well as the good news and bad news are asymmetrical. As far as return transmission effect, the lagged REITs index return significantly and negatively affects REITs index return. The return of REITs future index and Niki225 index significantly and positively affects return of REITs index. The 10 year bond interest rate does not significantly affect the return of REITs index. As far as spillover effect, REITs index, stock market and future market exit spillover effect. However, the spillover effect does not exit between REITs and bond market. The results may be contribution to the investors who invest in Japanese REITs market. |
本系統中英文摘要資訊取自各篇刊載內容。