隨著世界金融市場自由化與國際化，金融商品推陳出新，其中投資價值媲美股票市場的第四類資產『不動產投資信託(Real Estate Investment Trust, REIT)』因美國的證券化法規完備與相關商品的多樣化，其發展逐漸成熟，使得各式REIT商品投資風險的控管和績效的評估逐漸成為市場上關切的議題；然而除了某些重大事件會影響REIT指數外，整體經濟環境對REIT發展而言更具有決定力，近幾年全球經濟環境改變最大的，莫過於中國對原油需求的激增，油價的飆升，而隨著油價日漸攀高，痛苦指數也隨之升高，故研究油價相關議題為重要的趨勢。
本研究資料選取自美國與加拿大1998/2/11到2007/8/7日資料，並利用兩國REIT指數報酬與風險溢酬為兩條方程式之應變數，分別使用ARJI研究(1)兩國之長短期利率報酬、股價指數報酬與西德州油價對REIT報酬率之影響；與(2)兩國長短期利差、股價指數報酬之風險溢酬與油價之風險溢酬對兩國REIT報酬之風險溢酬有何影響。實證結果指出，(a)在油價方面：西德州油價對美國REIT報酬呈負相關；西德州油價對加拿大REIT報酬呈正相關。另一方面，西德州油價之風險溢酬對美國REIT報酬之風險溢酬亦呈負相關，而西德州油價之風險溢酬對加拿大REIT報酬之風險溢酬是呈正向之關係。(b)在利率方面，除了加拿大長期政府公債報酬與REIT報酬呈負相關外，其餘皆無顯著性相關；但在兩國在長短期利差方面，皆與REIT風險溢酬呈現負相關。(c)在股價方面，兩國之股價指數報酬與REIT報酬皆呈現顯著之正相關；同樣的，在股價之風險溢酬方面，兩國之REIT風險溢酬也皆與股價風險溢酬呈現正向之關係。並且證實兩國 REIT指數報酬與溢酬皆存在高度之波動性叢聚現象。

As financial markets of the world are deregulation and internationalization, the financial commodities grow and develop. The fourth asset (Real Estate Investment Trust) can compare to stock market because it develops gradually maturity. It becomes an important topic of discussion for the management of risk and the evaluation of performance about all kinds of REIT commodities. Others, energy problems also are a national issue and can’t ignore. So it already becomes an important trend to study the relative of oil price and REIT. The most of macroeconomic variables of past studies put the point in growing of oil price, and they ignored the risk premium on the growing of oil price. However, it is the motive to be the risk premium on the changing of oil price in the article.
This study date is used from 1998/2/11 to 2007/8/7 in U.S. and Canada. I used ARJI model to investigate (1) long and short interest rates, stock index, WTIF crude oil price. (2) the spread of long-short interest-rate, risk premium on stock index and risk premium on the changing of WTIF crude oil price. Our study results find, (a) on the aspect of crude oil: WTIF crude price and American REIT index were negative relation; WTIF crude price and Canadian REIT index were positive relation. On the side, the risk premium on changing of WTIF crude price and the risk premium on American REIT index were negative relation, but the risk premium on changing of WTIF crude price and the risk premium on Canadian REIT index were positive relation. (b) in the aspect of interest rate: all kinds of interest rates were not relative except Canadian long interest rate. And it was negative relation to Canadian REIT index. On the side, the spread of long-short interest-rate and risk premium on REIT index were negative in two countries. (c) in the aspect of stock index: the stock index and REIT index were positive relation. Also, the risk premium on stock index and the risk premium on REIT index were positive relation in two countries. Finally, we find that REIT index and risk premium on REIT index existed big volatility clustering.

第一章　緒論
第一節　研究動機‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥1
第二節　研究目的‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥4
第三節  研究架構‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥5
第四節  研究流程‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥6
第二章　相關文獻回顧
第一節　原油價格與通膨之相關文獻‥‥‥‥‥‥‥‥‥‥‥‥7
第二節　通膨與REIT報酬之相關文獻‥‥‥‥‥‥‥‥‥‥‥‥8
第三節　利率與REIT報酬之相關文獻‥‥‥‥‥‥‥‥‥‥‥‥9
第四節　股市與REIT報酬之相關文獻‥‥‥‥‥‥‥‥‥‥‥‥11
第五節　風險溢酬與REIT報酬之相關文獻‥‥‥‥‥‥‥‥‥‥13
第六節　其它之相關文獻‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥14
第三章　研究方法
第一節  單根檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥16
第二節　ARJI模型‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥19
第四章　實證結果與實證分析
第一節　資料來源與處理‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥23
第二節　變數基本統計量分析‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥25
第三節　單根檢定‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥31
第四節　ARJI模型實證結果與分析‥‥‥‥‥‥‥‥‥‥‥‥‥40
第五章　結論‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥45
參考文獻‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥47
附錄　不動產證券化概述‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥53


圖目錄
【圖1】研究流程圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥6
【圖2】美國變數之原始序列圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥28
【圖3】加拿大變數之原始序列圖‥‥‥‥‥‥‥‥‥‥‥‥‥‥29
【圖4】西德州原油價格之原始序列圖‥‥‥‥‥‥‥‥‥‥‥‥30

表目錄
【表1】為美國各變數原始序列的基本統計量‥‥‥‥‥‥‥‥‥26
【表2】為加拿大各變數原始序列的基本統計量‥‥‥‥‥‥‥‥27
【表3】美國各變數原始序列之線性單根檢定‥‥‥‥‥‥‥‥‥32
【表4】美國各變數報酬率與風險溢酬變動之非線性單根檢定‥‥33
【表5】加拿大各變數原始序列之線性單根檢定‥‥‥‥‥‥‥‥34
【表6】加拿大各變數原始序列之非線性單根檢定‥‥‥‥‥‥‥35
【表7】美國各變數報酬率與風險溢酬變動之線性單根檢定‥‥‥36
【表8】美國各變數報酬率與風險溢酬變動之非線性單根檢定‥‥37
【表9】加拿大各變數報酬率與風險溢酬變動之線性單根檢定‥‥38
【表10】加拿大各變數報酬率與風險溢酬變動之非線性單根檢定‥39
【表11】美國與加拿大ARJI實證結果‥‥‥‥‥‥‥‥‥‥‥‥‥43
【表12】美國與加拿大之風險溢酬實證結果‥‥‥‥‥‥‥‥‥‥44
【表13】美國與加拿大REIT制度整理‥‥‥‥‥‥‥‥‥‥‥‥‥60

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