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題名 | 不動產投資信託市場之風險傳遞--以亞洲國家與美國為例=Contagion Effects of Real Estate Investment Trust Markets: A Comparison between Asia and US |
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作 者 | 王羿雯; 李美杏; 李美杏; | 書刊名 | 統計與資訊評論 |
卷期 | 18 2018.12[民107.12] |
頁次 | 頁49-69 |
分類號 | 554.8 |
關鍵詞 | 風險傳遞效果; 不動產投資信託; 風險值; 分量迴歸; Contagion effect; Real estate investment trust; CoVaR; Quantile regression; |
語文 | 中文(Chinese) |
中文摘要 | 本文探討亞洲四個地區(香港、日本、新加坡與台灣)以及美國不動產投資信託(Real Estate Investment Trust, REIT)市場在極端報酬下之傳遞效果。利用CoVaR與分量迴歸的概念,探討在極端事件情況下各地區對於其他REIT市場的影響。實證顯示亞洲地區REITs的VaR皆低於CoVaR,尤其台灣更是嚴重低估風險;其次,這五個地區在極端事件發生時皆會互相影響,具風險傳遞效果;香港、新加坡、日本三國之間則有著高緊密性與連動性。 |
英文摘要 | This paper analyzes contagion effects on Asian and American real estate investment trust (REIT) markets: Hong Kong, Japan, Singapore, Taiwan and America, when extreme events occur. Based on the concepts of CoVaR and quantile regression, it also estimates the REITs markets' CoVaR and risk spillovers in different quantiles. The empirical results indicate that the VaR of REITs in Asia is lower than CoVaR. In particular, the risk of Taiwan is seriously underestimated. Second, the five REIT markets have contagion effects during extreme events. In Hong Kong, Singapore and Japan, the REIT returns are closely connected because of the contagion effects in these countries. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。