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題 名 | 股票與不動產投資信託的蔓延效果及安全投資轉移:以希臘主權債務危機為例=Contagion or Flight to Quality between the Stock and REITs Markets: Greek Debt Crisis |
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作 者 | 高子荃; 高偉舜; 林楚雄; 蔡繡容; 鍾沛璇; | 書刊名 | 住宅學報 |
卷 期 | 26:2 2017.12[民106.12] |
頁 次 | 頁75-90 |
分類號 | 554.8 |
關鍵詞 | 蔓延效果; 安全投資轉移; 不動產投資信託; VC-MGARCH模型; REITs; Contagion; Flight to quality; VC-MGARCH model; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究建構一個整合的估計模型,稱為t分配下與時俱變相關係數多變量GJR模型(VCMGJR-t model),以檢定蔓延效果與安全投資轉移的現象。本模型拓展Tse & Tsui(2002)與時俱變相關係數多變量GARCH模型(VC-MGARCH model),可同時捕捉變異數異質性、波動不對稱性、與時俱變的相關係數、外溢效果以及高峰胖尾分配型態的金融資產報酬特性。結果顯示在希臘主權債務危機的衝擊下,除義大利的REITs市場外,其餘國家的REITs蔓延效果皆呈現不顯著。此外,希臘的RETIs市場在危機發生後一至三個月,皆呈現安全投資轉移的現象。本文建議REITs能作為危機發生時之避險工具,投資人可透過REITs商品以避免投資損失。 |
英文摘要 | This study sets up an integrated multivariate GJR model with time-varying correlation based on the t distribution (VC-MGJR- t) to test the contagion effect and flight to quality during a financial crisis. We extend the MGARCH model by Tse & Tsui (2002) to address conditional heteroskedasticity, asymmetric volatility, time-varying correlation, spillovers, and fat-tailed distributions simultaneously. The empirical results reveal the presence of a contagion effect only in Italy during the Greek debt crisis period. The flight-to-quality effects from stocks to REITs were found to exist in Greece 1-3 months after a financial crisis. We therefore suggest that investors could use REITs for hedging and decreasing their losses. |
本系統中英文摘要資訊取自各篇刊載內容。