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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/54177
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54177


    Title: 台灣不動產投資信託基金的價格是否存在過度恐慌?
    Does the price of REITs in Taiwan exist excess fear?
    Authors: 沈容光
    Contributors: 杜化宇
    沈容光
    Keywords: 不動產投資信託基金
    恐慌指數
    槓桿效果
    抗跌性
    Date: 2011
    Issue Date: 2012-10-30 10:14:01 (UTC+8)
    Abstract: 早期國外學者指出不動產投資信託基金具有「低風險」與「防禦性」的特質,簡稱為「抗跌性」與「反槓桿效果」,亦即除了與大盤相關性較低之外,市場的負向衝擊對於其報酬的影響比正向衝擊來的小。為了瞭解台灣不動產投資信託基金的價格是否存在過度恐慌,本文分成兩部分著眼:過去的研究大都著手在不動產投資信託基金的價格上,而忽略其為封閉型基金的特性,故本文先從「封閉型基金」角度,以因素分析擷取其共同因子,再利用BGARCH模型,探討共同因子與台灣VIX指數變化間是否存在不對稱效果。第二則是將不動產投資信託基金折溢價進行拆解,分為價格與資產淨值,運用相同方式重新觀察反槓桿效果,探討台灣不動產投資信託基金的價格是否存在過度恐慌。
    本研究得到一些與過去文獻不同的結論:
    1.若市場出現正向或是負向衝擊,台灣不動產投資信託基金折溢價的波動會上升, 且過去的衝擊持續性強,反應財務資料呈現的波動叢集性。
    2.不動產投資信託基金價格具有「槓桿效果」,市場的負向衝擊會額外增加報酬的波動,並無防禦性特質。
    3.REITs價格與台灣VIX指數變動具有顯著相關,而資產淨值則無此現象,證明台灣不動產投資信託基金價格相對於資產淨值存在過度恐慌的現象。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    99357004
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099357004
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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