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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/145724


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145724


    Title: 不動產投資信託與股票報酬率連動性
    Real Estate Investment Trusts (REITs) and Stock Return Comovements
    Authors: 陳佰弦
    Chen, Bai-Sian
    Contributors: 周冠男
    陳鴻毅
    Chou, Robin K.
    Chen, Hong-Yi
    陳佰弦
    Chen, Bai-Sian
    Keywords: 不動產投資信託
    投資人關注
    股票報酬率連動性
    關注轉移連動性
    REITs
    Investor Attention
    Stock Return Comovements
    Attention-shifting Comovements
    Date: 2023
    Issue Date: 2023-07-06 15:20:45 (UTC+8)
    Abstract: 此篇文章研究不動產市場的極端表現會如何透過轉移投資人關注而影響個別股票與股票市場之間的報酬率連動性。研究結果發現不動產投資信託指數的極端表現會分散投資人對於個別股票的關注，因而提高個別股票與股票市場之間的報酬率連動性。進一步研究顯示新獨立的不動產產業、不動產投資信託指數的更極端表現與高的散戶投資人集中度會增強投資人關注的轉移對股票報酬率連動性的影響。此外，投資人關注的轉移對股票報酬率連動性的影響並不是源於投資人情緒、熊市與經濟衰退等因素。此研究亦考量搜尋量指數、前一個月的不動產投資信託指數表現、不同的時間區間與房價指數等面向作為穩健性測試，並發現一致的結果。
    This study investigates how the extreme performance of the real estate market affects individual stock return comovements with the stock market through a shift in investor attention. This study finds that the extremely high and low performance of the equity REIT index distracts investor attention from individual stocks, thereby increasing return comovements between individual stocks and the stock market. Moreover, the new and standalone real estate sector, the more extreme performance of the equity REIT index, and the high concentration of retail investors amplify attention-shifting comovements. Besides, attention-shifting comovements are not derived from investor sentiment, bear markets, and recessions. For robustness, this study provides consistent empirical evidence on search volume indices, the performance of the equity REIT index in the previous month, different subperiods, and the home price index.
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    Description: 博士
    國立政治大學
    財務管理學系
    107357501
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107357501
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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