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系統識別號 U0002-2306201322431400
中文論文名稱 不動產證券化商品之市場風險特性分析
英文論文名稱 The Analysis for Securitized Real Estate of Market Risk Characteristic
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 林宜螢
研究生英文姓名 Yi-Ying Ling
學號 600530405
學位類別 碩士
語文別 中文
口試日期 2013-06-21
論文頁數 89頁
口試委員 指導教授-邱建良
共同指導教授-蘇欣玫
委員-邱建良
委員-俞海琴
委員-莊益源
中文關鍵字 指數股票型基金  不動產證券化商品  EGARCH模型  市場風險 
英文關鍵字 ETFs  Securitized Real Estate  EGARCH Model  Market Risk 
學科別分類
中文摘要 本研究主要目的在於研究美國不動產證券化市場之市場風險特性行為,隨著金融商品的不斷創新,在研究標的選用上,本文除了選定發展行之多年的REITs商品外,更加入不動產指數ETFs與REITs ETFs等較新穎的不動產證券化相關投資商品,以提供投資人對於美國不動產證券化市場更全面性的分析與參考依據。研究期間為2001年7月31日至2012年10月17日之日資料,在單變量EGARCH模型的基礎下 (Exponential Generalized AutoRegressive Conditional Heteroskedasticity, EGARCH),建立了總體經濟變數以及資本市場變數與各別不動產證券化商品報酬之相關理論架構。此外,更進一步利用雙變量EGARCH模型探討ETFs與其追蹤標的指數報酬之間的動態關聯性與各市場風險變數之間的影響效果。最後,試圖將市場波動度以迴圈方式區分成高、低波動程度去深波動程度上的不同是否也會對於不動產證券化商品報酬與波動的影響有所差異。實證結果顯示兩種ETFs與其追蹤標的指數間報酬與股票市場有著密切顯著關係,可得知股票市場在不動產證券化市場上扮演著重要的角色。此外,不動產證券化商品報酬則與風險溢酬因子呈現正向關係,顯示出不動產證券化商品有著債券的風險特性,反觀在長期利率因子上則有不盡相同的結果,當長期利率隱含著市場對未來通膨的預期時,顯示REIT ETFs與其追蹤的REITs指數則不具抗通膨特性,較屬於一般股票風險特性。而不動產指數ETFs與其追蹤之不動產指數報酬間是存在抗通膨的特性存在,此結果則比較偏向於債券的風險特性。而從市場波動干擾因子來看,則發現兩種ETFs與其追蹤標的指數酬間卻同時兼具了一般股票與債券的風險特性,即便將市場波動度區分成高低程度進行分析,結果仍然相同。
英文摘要 The purpose of this study is to analyze whether the market risk characteristic of American securitized real estate is more like that common stock or bonds by market risk factors. With the high-speed development of the level of financial products, we have a wide choice form securitized real estate market. For instance, Exchange Traded Funds (ETFs), including the innovation, and the ever more creative traditional versions. Hence, we use daily data of real estate related ETFs returns and REITs returns over the period 31 July 2001 to 17 October 2012 .We establish the theoretical framework by the Exponential Generalized Auto Regressive Conditional Heteroskedasticity (EGARCH) model to analyze market risk characteristic of securitized real estate from examining the effects of macroeconomic variables and capital market factors on securitized real estate returns, and further to separate into the high-level regime and low-level regime market volatility based on loop method. The analysis indicates that the stock market has significantly impact on securitized real estate returns. We believe stock market play an important role in securitized real estate market. We also consider risk premium and long-term interest, the former which measures the trade-off between return and risk is found to be positive and stable in terms of statistical significance for total variables. As far as long-term interest rate imply the expectation of inflation in the future from market investors, the effect of impact from long-term interest were different between two ETFs. The finding indicates that real estate ETFs and their underlying real estate stocks index serve as against hedge inflation effect but REIT ETFs and REITs don’t. In addition, we discover that the risk characteristic of securitized real estate returns gives rise to hybrid types of both common stock and fixed income securities form VIX as proxy market volatility. Even if divide market volatility into a low-level and a high-level regime, the results from the different level risk were also the same.
論文目次 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 6
第二章 文獻回顧 8
第一節 資本市場對不動產證券化市場影響之相關文獻 8
第二節 總體經濟因素對不動產證券化市場影響之相關文獻 18
第三章 研究方法 23
第一節 單根檢定 23
第二節 自我相關與異質性檢定 28
第三節 條件變異數不對稱性檢定(符號檢定) 30
第四節 研究模型 33
第五節 實證內容 39
第四章 實證分析 43
第一節 研究對象與資料處理 43
第二節 基本統計量分析 47
第三節 單根檢定結果 51
第四節 自我相關與異質性檢定 55
第五節 條件變異數不對稱性檢定 56
第六節 單變量EGARCH 之實證分析 57
第七節 雙變量EGARCH 之實證分析 65
第五章 結論 79
參考文獻 82

表目錄
【表4-1-1】各變數之定義與來源 44
【表4-1-2】各檔ETFs之基本資料 45
【表4-2-1】各項變數之基本統計量 50
【表4-3-1】各項變數一階差分序列之線性單根檢定結果 52
【表4-3-2】各項變數一階差分序列之非線性(KSS)單根檢定結果 53
【表4-3-3】各項變數一階差分序列之非線性(ZA)單根檢定結果 54
【表4-4-1】報酬序列之自我相關與異質性檢定 56
【表4-5-1】報酬序列變動之條件變異數不對稱性檢定 57
【表4-6-1】MODEL 1單變量EGARCH模型實證結果 63
【表4-6-2】MODEL 1單變量EGARCH模型實證結果 64
【表4-7-1】MODEL 2雙變量EGARCH-X模型實證結果 70
【表4-7-2】MODEL 2雙變量EGARCH-X模型實證結果 71
【表4-7-3】MODEL 2各項變數一階差分序列之條件變異數不對稱檢定 72
【表4-7-4】MODEL 3雙變量EGARCH-X模型實證結果 76
【表4-7-5】MODEL 3雙變量EGARCH-X模型實證結果 77
【表4-7-6】MODEL 3各項變數一階差分序列之條件變異數不對稱檢定 78

圖目錄
【圖1-3-1】研究流程圖 7
【圖4-2-1】REIT ETFs與追蹤標的指數報酬序列圖 48
【圖4-2-2】不動產指數ETFs與追蹤標的指數報酬序列圖 49
【圖4-2-3】VIX指數走勢圖 50
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