Title page for etd-0121108-182256


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URN etd-0121108-182256
Author Jie-Rong Cheng
Author's Email Address No Public.
Statistics This thesis had been viewed 4766 times. Download 2968 times.
Department Finance
Year 2007
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Performance Comparison and Interrelationship between the US and Asian REITs Indices
Date of Defense 2007-06-14
Page Count 79
Keyword
  • Granger Causality
  • Value at risk
  • Real Estate Investment Trust
  • Abstract The aim of this thesis is to examine performance and relationship between the US and Asian REITs indices. We find two-year (2005/3/10~2007/3/12) return of T-REITs is 15.87%, which is much lower than the return of US, Japan and Singapore. However, T-REITs has the lowest risk in selected sample countries because the lowest VaRs is found. We estimate one-day horizon holding periods VaRs and find T-REITs’ performance is better than other country by the Sharpe Ratio of VaRs. The Granger causality approach indicates some lead-lag relationships between these REITs. The NAREIT EQUITY index is leading the Hong-Kong and Singapore REITs indices; Singapore REITs index is leading the J-REITs index; J-REITs index is leading the NAREIT EQUITY index. However, Causality tests show no significant lead-lag relationships between Taiwan REITs market and other REITs markets.
    Advisory Committee
  • David So-De - chair
  • Jen-Jsung Huang - co-chair
  • Ming-Chi Chen - advisor
  • Files
  • etd-0121108-182256.pdf
  • indicate access worldwide
    Date of Submission 2008-01-21

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