本文使用ARJI模型來探討投資於不同類型之不動產標的（住宅大樓與商用及辦公大樓）的REIT個股報酬表現與物價變動虛擬變數、日經225股價指數報酬、美元兌日圓即期匯率變動率、3個月期利率變動、10年期政府公債利率變動之關連。
實證結果顯示：1.將不動產投資標的區分為住宅大樓型與商用及辦公大樓型後，物價變動虛擬變數之表現上有明顯的差異存在，投資於住宅大樓的REIT個股具有對抗物價上漲對資產報酬帶來侵蝕之能力；投資於商用及辦公大樓的REIT個股則不具有此一效果。2.REIT個股中，大致上來說與日經225股價指數報酬沒有明顯的關係存在。3.REIT個股中，發現與美元兌日圓即期匯率變動率沒有顯著的關係存在。4.利率方面，REIT個股與長期利率呈現不顯著之關係，短期利率方面則為顯著負向關係。5.REIT個股報酬存在高度之波動叢聚現象，並且其跳躍大小與跳躍頻率皆呈現顯著的結果，表示不連續之跳躍過程為影響REIT個股報酬不可忽視的重要因素。

In this study , we apply the ARJI model to discuss the return performances of Real Estate Investment Trust（REIT）to the different type (residential building and commercial or office building) among the dummy variable of inflation、the return of Nikki 225 stock index、the return of U.S. dollar to Yen exchange rate、the change of three month interest rate、the change of ten year government bond interest rate.
The results show that after compartmentalizing REIT into residential building type and commercial or office building type , the dummy variable of inflation has very different results . The residential building type can cope with the damage from inflation , but the commercial or office building type can not do as residential building type . The return of two types REIT do not have significant relationships among the return of Nikki 225 stock index and the return of U.S. dollar to Yen exchange rate in this paper . On the other hand , the return of two types REIT have the negative relationship with the change of short term interest rates , but there is no significant relationship with the change of long term interest rates . Finally , the return of two types REIT have highly volatility clustering phenomenon . Besides , the jump frequency and the jump density are all significant . This implied that the discontinuous jump process is an important factor when discussing the return of REIT .

目  錄
第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	2
第三節 日本不動產證券化發展概要	3
第四節 研究架構	14
第五節 研究流程	15
第二章 文獻回顧	16
第一節 通貨膨脹與REIT報酬之相關文獻	16
第二節 利率與REIT報酬之相關文獻	19
第三節 股市與REIT報酬之相關文獻	22
第四節 匯市與REIT報酬之相關文獻	24
第五節 異質變異之相關文獻	25
第三章 研究方法	26
第一節 單根檢定	26
第二節 ARJI模型	28
第四章 實證結果與實證分析	32
第一節 資料描述與資料來源	32
第二節 資料處理與模型設定	33
第三節 變數基本統計量分析	35
第四節 單根檢定	38
第五節 ARJI模型實證結果	40
第五章 結論	45
參考文獻	47
表 目 錄
【表1】REIT個股資訊彙整	33
【表2】變數基本統計量	36
【表 3】ADF單根檢定	39
【表 4】KPSS單根檢定	40
【表 5】ARJI實證結果	43
圖 目 錄
【圖1】日本不動產證券化類型圖	12
【圖2】日本不動產證券化實施成效	13
【圖3】各變數原始序列走勢圖	         37

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