| URN |
etd-0121108-182256 |
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| Author |
Jie-Rong Cheng |
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| Author's Email Address |
No Public. |
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| Statistics |
This thesis had been viewed 5475 times. Download 2640 times. |
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| Department |
Finance |
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| Year |
2007 |
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| Semester |
1 |
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| Degree |
Master |
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| Type of Document |
|
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| Language |
zh-TW.Big5 Chinese |
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| Title |
Performance Comparison and Interrelationship between the US and Asian REITs Indices |
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| Date of Defense |
2007-06-14 |
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| Page Count |
79 |
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| Keyword |
Granger Causality
Value at risk
Real Estate Investment Trust
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| 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. |
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| Advisory Committee |
David So-De - chair
Jen-Jsung Huang - co-chair
Ming-Chi Chen - advisor
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| Files |
indicate access worldwide |
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| Date of Submission |
2008-01-21 |
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