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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73894

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73894

Title:	Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach
Authors:	Shen, Chung-Hua;Chen, Shyh-Wei 沈中華
Contributors:	金融系
Keywords:	REITs;Markov switching model;Permanent component;Transitory component
Date:	2012-03
Issue Date:	2015-03-18 13:58:32 (UTC+8)
Abstract:	In this paper the stochastic behavior of the returns on real estate investment trusts (REITs) is examined by using the unobserved component Markov switching (UC-MS) model. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory components in REIT returns at monthly frequencies. The empirical evidence clearly shows that, for all of the REIT returns, the overall variance of the transitory component is significantly smaller than the corresponding variance for the permanent component. The durations of the high-variance regimes for both the fundamental and transitory components are short-lived and revert to normal levels quickly.
Relation:	Economic Modelling, 29(2), 291–298
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.econmod.2011.10.006
DOI:	10.1016/j.econmod.2011.10.006
Appears in Collections:	[金融學系] 期刊論文

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