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。

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.

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

一、國內文獻
1.邱建良、黃健銘、吳佩珊，（2007），「不動產投資與股匯市、利率敏感性動態分析－以日本爲例」，金融風險管理期刊，第三卷，第一期，頁113-33。
2.白東岳、黃健銘、吳慧瑩，（2008），「歐洲不動產投資信託市場報酬之關聯性研究」， 真理財經學報，第十九期，頁31-35
3.林佐裕，（2008），「美國次級房貸風暴對台灣金融資產證券化即投資者之啟示」，住宅學報，第十七卷，第一期，頁111-123。
4.傅英芬、康信鴻，（2008），「通貨膨脹與台灣不動產相關類股動能現象之探討」，住宅學報，第十七卷，第二期，頁35-62。
5.葉怡純，（2011），「台灣不動產投資信託基金之抗跌與風險特性」，住宅學報，第二十卷，第一期，頁25-58。


二、國外文獻
1.Adams, G., G. R. McQueen and R. Wood, (2004), “The Effects of Inflation news on High Frequency Stock Returns.” The Journal of Business, Vol. 77, pp.547-574.
2.Adrangi, B., A. Chatrath, and K. Raffiee, (2004), “REIT Investments and Hedging Against Inflation.” Journal of Real Estate Portfolio Management, Vol. 10, pp. 97-112.
3.Allen, M. T., J. Madura, and T. M. Springer, (2000), “REIT Characteristics and the Sensitivity of REIT Returns,” Journal of Real Estate Finance and Economics, Vol. 21(2) , pp. 141-152.
4.An, H., W. Hardin III, W. and Z. Wu, (2012), “Information Asymmetry and Corporate Liquidity Management: Evidence from Real Estate Investment Trusts.” Journal of Real Estate Finance and Economics, Vol. 45, pp. 678-704.
5.Bollerslev, T.(1986), “Generalized Autoregressive Conditional Hetrosecdasticity.” Journal of Econometrics, Vol. 31, pp. 307-327.
6.Bollerslev. T.,(1987), “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.” The Review of Economics and Statistics,Vol. 69(3), pp. 542-547
7.Bollerslev, T. (1990), “Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model,” Review of Economics and Statistics, Vo. 72, pp. 498-505.
8.Bredin, D., G. O’Reilly, and S. Stevenson, (2007), “Monetary Shocks and REIT Returns,” Journal of Real Estate Finance and Economics, Vol. 35, pp. 315-331. 
9.	Bond, M. and M. J. Seiler (1998), “Real Estate Returns and Inflation: An Added Variable Approach,” The Journal of Real Estate Research, Vol. 15(3), pp. 327-337.
10.Cheng, M. and A. Madhavan,(2000), “The Dynamics of Leveraged and Inverse Exchange-Traded Funds.” Journal Of Investment Management, Vol .4.pp, 1-23. 
11.Chen, M. C., I. C. Tsai and T. F. Sing, (2007). “A Cobweb Theory of House Price Incorporated with the Behavior of Investors.” The 12th Asian Real Estate Society (AsRES) Annual Conference and the 2007 AREUEA International Conference.
12.Chen, J., and H. Peter, (2003). “Global Real Estate Risk Index.”  Journal of Portfolio Management, Vol. 30, pp.66-75.
13.Clayton, J. and M. Greg, (2001). “The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns.” Journal of Real Estate Portfolio Management, Vol. 7, pp. 43-54.
14.Curcio, R. J., A. Randy I. A., G. Hany and B. Vaneesha, (2012). “Have Leveraged and Traditional ETFs Impacted the Volatility of Real Estate Stock Prices?”Applied Financial Economics, Vol. 22, pp.709-722.
15.Conover, M. C., H. S. Friday, and S.W. Howton, (2000). ”An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model.” Real Estate Economics, Vol. 28(1), pp. 141–63.
16.Chandrashekaran, V., (1999). “Time-Series Properties and Diversification Benefits of REIT Returns”. The Journal of Real Estate Research, Vol. 17, pp. 91-112.
17.Chou, R. K., K. Y. Ho and C. Lu, (2013), “ The Diversification Effects of  Real Estate Investment Trusts: A Global Perspective.” Forthcoming at Journal of Financial Studies. (TSSCI),pp.1-31.
18.Darrat, A. F. and J. L. Glascock, (1989), “Real Estate Returns, Money and Fiscal Deficits: Is the Real Estate Market Efficient?” Journal of Real Estate Finance and Economics, Vol. 2, pp. 197-208.
19.Dickey, D. A. and W. A. Fuller, (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, Vol. 49, pp. 1057-1072.
20.Engle, R. F. and B. S. Yoo, (1987), “Forecasting and Testing in Co-integrated Systems,” Journal of Econometrics, Vol. 35, pp. 143–159.
21.Ewing, B. T. and J. E. Payne, (2005), “The Response of Real Estate Investment Trust Returns to Macroeconomic Shocks,” Journal of Business Research, Vol. 58(3), pp. 293-300.
22.Geltner, D. (1989), “Estimating Real Estate’s Systematic Risk from Aggregate Level Appraisal-Based Returns.” AREUEA Journal, Vol. 17(4), pp. 463-481.
23.Ghosh, C. and C. F. Sirmans.(2003). “Board Independence, Ownership Structure and Performance: Evidence from Real Estate Investment Trusts.” Journal of Real Estate Finance and Economics, Vol. 26(2/3), pp. 287–318.
24.Ghosh, C. and C. F. Sirmans., (2006). “Do Managerial Motives Impact Dividend Decisions in REITs? ” Journal of Real Estate Finance and Economics, Vol. 32, pp.  327–355.
25.Glascock, J. L., C. L. Lu and R.W. So, (2002), “REIT Returns and Inflation: Perverse or Reverse Causality Effects?” Journal of Real Estate Finance and Economics, Vol. 24(3) , pp. 301-317.
26.Glascock, J. L. , C. Lu and R.W. So, (2000) .“ Further Evidence on the Integration of REIT, Bond , and Stock Returns,” Journal of Real Estate Finance and Economics , Vol. 20(2) , pp. 177-194. 
27.Gyourko, J. and D. B. Keim, (1992). “ What Does The Stock Market Tell Us about Real Estate Returns? ” Journal of the American Real Estate and Urban Economics 
Association, Vol. 20(3), pp. 457-487.
28.Ghosh, C., M. Miles and C. F. Sirmans, (1996). “Are REITs stocks?” Real Estate Finance, Vol. 13, pp. 46-53.
29.Han, J. and Y. Liang, (1995), “The Historical Performance of Real Estate Investment Trusts.” Journal of Real Estate Research, Vol. 10, pp. 235-262.
30.He, L. T., J. R. Webb, and F. C. Neil Myer, (2003), “Interest Rate Sensitivities of REIT Returns,” International Real Estate Review, Vol. 6, No. 1, pp. 1-21.
31.Hoesli, M. and C. Serrano, (2007). “Securitized Real Estate and its Link with Financial Assets and Real Estate: An International Analysis.” Journal of Real Estate Literature, Vol. 15(1), pp. 59-84.
32.Huang, G. C., K. Liano and M. S. Pan (2012), “ REIT Sharerepurchase Decision and Stock Market Liquidity.” Journal of Real Estate Portfolio Management , Vol.18(1), pp.43-56.
33.Hung, S. Y. and J. L. Glascock, (2008). “Momentum Profitability and Market Trend: Evidence from REITs.” Journal of Real Estate Finance and Economics, Vol. 37, pp. 51-69.
34.Jacob, D. and R. Zisler, (1994). “Real Estate, Inflation and Interest Rates. ” New York: Nomura Securities International Inc.
35.Karolyi, G. A. and A. B. Sanders, (1998), “The Variation of Economic Risk Premiums in Real Estate Returns,” The Journal of Real Estate Finance and Economics, Vol. 17, pp. 245-262.
36.Koutmos, G. and G. G. Booth,(1995), “Asymmetric volatility transmission in international stock Markets.”, Journal of International Money and Finance, Vol. 14, pp. 747-762.
37.Kapetanios, G., Y. Shin and A. Snell, (2003), “Testing for A Unit Root in the Nonlinear STR Framework,” Journal of Econometrics, Vol. 112, pp. 359-379.
38.Luukkonen, R., P. Saikkonen and T. Terasvirta, (1998), “Testing Linearity Against Smooth Transition Autoregressive Models.” Biometrika , Vol. 75, pp. 491-499.
39.Liow K. H., Q. Huang (2006). “Interest Rate Risk and Time-Varying Excess Returns for Asian Property Stocks.” Journal of Property Investment & Finance, Vol. 24, pp. 188-210.
40.Lee, M., M. Lee and K. Chiang (2008). “Real Estate Risk Exposure of Equity Real Estate Investment Trusts.” Journal of Real Estate Finance and Economics, Vol. 36, pp. 165-81.
41.Lee, M. C. and W. H. Cheng (2006), “Correlated Jumps in Crude Oil and Gasoline during the Gulf War,” Applied Economics , Vol.39(7) , pp. 903-913. 
42.Lu , C. and R.W. So, (2001) ,“ The Relationship between REITs Returns and Inflation : A Vector Error Correction Approach,” Review of Quantitative Finance and Accounting , Vol. 16(2) , pp. 103-115.
43.Liang, Y., W. Mcintosh and J. R. Webb, (1995). “Intertemporal Changes in the Riskness of REITs,” The Journal of Real Estate Research, Vol.10(4), pp. 427-443. 
44.Liu C. H., D. J. Hartzell and M. E. Hoesli (1997). “International Evidence on Real Estate Securities as an Inflation Hedge.” Real Estate Economics, Vol. 25(2), pp. 193-221.
45.Liow, K. H., Q. Huang, (2006). “Interest Rate Risk and Time-Varying Excess Returns for Asian Property Stocks.” Journal of Property Investment & Finance, Vol. 24, pp. 188-210.
46.Luukkonen, T., (2000). “Additonality of EU framework programmes. ”Research Policy Vol. 29, pp. 711–724.
47.Myer, F. C. N. and J. R. Webb, (1993). “Return properties of equity REITs, common stocks, and commercial real estate: A comparison.” Journal of Real Estate Research, Vol. 8, pp. 87-106.
48.McCue, T. E. and J. L. Kling, (1994), “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991,” Journal of Real Estate Research, Vol .9, pp. 277-287.
49.Mueller, G. R. and K. R. Pauley, (1995). “The Effect of Interest-Rate Movements on Real Estate Investment Trusts. ”The Journal of Real Estate Research, Vol. 10(3), pp. 319-325.
50.Jaakko, N. and F. Heidi, (2010). “Heidi: REITs and Correlations with Other Asset classes: A European Perspective.” Journal of Real Estate Portfolio Management, Vol. 16(3), pp. 227-239.
51.Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Journal of the Econometrics Society, Vol. 59(2), pp. 347-370.
52.Nishigaki, H. (2007). “An Analysis of the Relationship between US REIT Returns. ” Economcis Bulletin, Vol. 13, pp. 1-7.
53.Ooi, J. T. L. and K. H. Liow (2004). “Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets.” Journal of Real Estate Research, Vol. 26(4), pp. 371–95.
54.Payne, J. E., (2003).“ Shocks to Macroeconomic State Variables and the Risk Premium of REITs,” Applied Economics Letters, Vol. 10(11) , pp. 671-677. 
55.Park, J. K., D. J. Mullineaux and I. K. Chew, (1990). “Are Reits Inflation Hedges. ” Journal of Real Estate Finance and Economics, Vol. 3, pp. 91-103. 
56.Phillips, P. C. B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, Vol. 75, No. 2, pp. 335-346
57.Perron, P., (1989), “The Great Crash, the Oil Price Shock, and the Unit Root fHypothesis,” Econometrica, Vol. 57, No. 6, pp. 1361-1401.
58.Said, S. E. and D. A. Dickey (1984), “Tests for Unit Roots in Autoregressive-Moving
Average Models of Unknown Order”, Biometrika ,Vol. 71,pp. 599-609.
59.Seiler, M. J. and V. L. Seiler, (2009). “ETF Short Shares : The Next Stage in the Evolution of REIT Ownership.” Journal of Real Estate Portfolio Management, Vol. 15(1), pp. 21-31.
60.Sirmans, G. S., and C. E. Sirmans, (1987). “The Historical Perspective of Real Estate Returns? ”The Journal of Portfolio Management, Vol. spring, pp. 2-31.
61.Stevenson, S.(2002). “An Examination of Volatility Spillovers in REIT Returns.” Journal of Real Estate Portfolio Management, Vol. 8, pp. 229-238.
62.Simon, S. and W.L. Ng, (2010),”The Effect of the Real Eastate Downturn on the Link between REITs and the Stock Market.” Journal of Real Estate Portfolio Management,Vol.15(3),pp.211-219. 
63.Su, H. M., C. M. Huang and T. Y. Pai, (2010). “The Hybrid Characteristic of REIT Returns : Evidence from Japanese and U.S. Markets.” Journal of Real Estate Literature, Vol. 18(1), pp. 77-99.
64.Tsai, I. C., M. C. Chen and T. F. Sing, (2007), “New Evidence for the Asymmetric REIT-Beta Puzzle,” SSRN Working Papers1079591, Social Science Research Network.
65.Yang, J., Y. Zhou and W. K. Leung, (2012). “Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets.” Journal Real Estate Financial Economic, Vol. 45(2), pp. 491–521.
66.Yang, S. H. and B. W. Brorsen, (1993). “Nonlinear Dynamics of Daily Futures Prices: Conditional heteroskedasticity or Chaos? ” The Journal of Futures Markets, Vol. 13(2), pp. 175-191.
67.Zivot, E. and D. W. K. Andrews, (1992), “Further Evidence on The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis,” Journal of Business and Economic Statistics, Vol. 10, pp. 251-270.