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博碩士論文 etd-0720111-233817 詳細資訊
Title page for etd-0720111-233817
論文名稱
Title
探討金融風暴期間股票及不動產投資信託市場之 蔓延現象:動態Copula模型之應用
Contagion between Stock and REITs Markets During the Financial Crisis: An Application of Dynamic Copula Models
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
63
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2011-07-01
繳交日期
Date of Submission
2011-07-20
關鍵字
Keywords
不動產投資信託、動態Copula模型、蔓延現象、國際多角化效果
Contagion Effect, International Diversification Effect, Real Estate Investment Trusts, Dynamic Copula Models
統計
Statistics
本論文已被瀏覽 5715 次,被下載 1216
The thesis/dissertation has been browsed 5715 times, has been downloaded 1216 times.
中文摘要
本研究檢驗在次貸風暴期間及金融風暴期間股票及REITs (Real Estate Investment Trusts) 市場之長期與短期蔓延現象。首先,我們檢驗美國股票市場與REITs市場間之蔓延現象。接下來我們還檢驗了美國REITs市場與國際上四個地區共包含十八個重要的REITs市場間之蔓延現象,這四個地區包括北美洲、大洋洲、亞洲和歐洲。為了捕捉指數報酬率波動結構的不對稱性以及考慮時間序列資料特性,本研究採用不對稱動態Copula模型檢驗蔓延現象。
本研究實證結果顯示次貸風暴期間,美國股市與REITs市場間相關性顯著上升且一同走空表示兩市場存在蔓延現象,並且由美國REITs市場傳導至加拿大REITs市場、澳洲REITs市場以及絕大部分的歐洲REITs市場,而亞洲REITs市場則不存在蔓延現象。但在之後的金融風暴期間,被美國REITs市場所影響的歐洲REITs市場相對較少。而亞洲除了新加坡外,大部分REITs市場仍都不存在蔓延現象。另外這兩次風暴期間,蔓延現象在短期較為明顯。這些結果顯示在這兩次風暴期間,亞洲REITs市場較不容易受美國REITs市場之影響,投資人可以藉投資此投資組合獲得國際多角化效果,且應減少其他區域之REITs市場的投資比重以降低投資風險,另外長期投資也會讓多角化效果更為有效。
Abstract
This study measures the short-term and long-term contagion effects in U.S. stock markets and REITs (Real Estate Investment Trusts) markets during the periods of subprime mortgage and financial crises. First, we test contagion between the U.S. stock market and the U.S. REITs market. Then, we test the contagion effects between the U.S. REITs market and eighteen international REITs markets, selected from North America, Oceania, Asian and Europe. To catch the asymmetric effect in the volatility structure of index returns and consider the time-varying data, this study employs asymmetric dynamic Copula models that measure contagion effects.
The test result in this study shows that the contagion effect exists because of the fact that during the subprime mortgage crisis, the correlation between the U.S. stock market and REITs market significantly increased. Thus, the two markets lost ground together. While managing not to emerge in Asian REITs markets, the contagion then spread from the U.S. REITs market to Canada, Australia and most of the European REITs markets. In the later financial crisis period, however, the number of European REITs markets impacted by contagion from the U.S. REITs market decreased. Except for Singapore, contagion is absent from the Asian REITs markets. Contagion is more obvious in the short term than in the long term. These results imply that the Asian REITs markets are not easily affected by the U.S. REITs market, which in turn implies that investors could obtain the positive effects of international diversification by investing in this portfolio. In addition, investors should reduce the proportion of their investments placed in REITs markets, as well as focus on a long-term diversification strategy.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Review 6
2.2 Contagion 6
2.2 The Relationship between Stock and REITs Market 7
2.3 Copulas 8
3. Research Methodology 11
3.1 Research Structure 11
3.2 Copula Function 11
3.2.1 Introduction of Copulas 11
3.2.2 Elliptical copulas and Archimedean copulas 14
3.3 Estimate of parameters of GJR-GARCH-ST-Based Copula models 16
3.3.1 GJR-GARCH-ST Models 16
3.3.2 IFM Method 16
3.3.3 Correlation of GJR-GARCH-ST-Based Copula models 19
4. Data and Empirical Results 21
4.1 Data and Descriptive Statistics 21
4.2 Empirical Results 26
4.2.1 Basic Correlation Analysis 26
4.2.2 Estimate of Dynamic Copula Models 28
4.2.3 Measure Contagion in Dynamic Copula Model Framework 30
5. Conclusion 43
Reference 46
Appendix 53
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