政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60801
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 86061/114710 (75%)
造访人次 : 23036644      在线人数 : 163
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    请使用永久网址来引用或连结此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/60801


    题名: Dynamic Modelling of Real Estate Investment Trusts and Stock Markets
    作者: Lee,C. C.;Chien,M. S.;Lin, Calvin Tsoyu
    贡献者: 政大地政系
    关键词: Real estate securitization;Real estate investment trust;Stock price;Causality;Generalized impulse response approach
    日期: 2012-03
    上传时间: 2013-09-13
    摘要: Taiwan launched the first case of real estate securitization in 2005. The interrelationship between Taiwan Real Estate Investment Trusts (T-REITs) and the aggregate equity markets and segmented industries has drawn the interests of both investors and academia. This paper employs Toda and Yamamoto's (1995) procedure and the generalized impulse response approach to uncover the extent and the magnitude of the relationship between T-REITs and aggregate and segmented stock prices. We collected daily data of the first two issued T-REITs, Fubon No.1 and Cathay No. 1, from March 2005 to March 2010 and October 2005 to March 2010, respectively, to examine their causal relationships with aggregate stock markets, the financial sector, and the construction sector. The empirical results indicate that all variables have break points, reflecting shocks from the Subprime Mortgage Crisis or deregulation of the Qualified Domestic Institutional Investors (QDII) for Mainland Chinese to invest in Taiwan. We also discover that an individual T-REIT may lead or lag behind stock price indices due to its capitalization scale or business type. The transitory initial impacts of innovations in T-REITs on stock price indices are observed herein.
    關聯: Economic Modelling, 29(2), 395-407
    数据类型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.econmod.2011.11.008
    DOI: 10.1016/j.econmod.2011.11.008
    显示于类别:[地政學系] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    395407.pdf1526KbAdobe PDF1072检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈