English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50806356      Online Users : 727
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/64852


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64852


    Title: Dynamic Conditional Correlation Analysis in International Real Estate Security Markets
    Other Titles: 國際不動產證券市場之動態條件相關性分析
    Authors: 陳靜宜;廖四郎
    Chen, Jing-Yi;Liao, Szu-Lang
    Contributors: 金融系
    Keywords: 動態條件相關性模型;跨時相關性;不動產證券市場;股票市場;波動性;Dynamic conditional correlation model;Time-varying correlation;Real estate securities markets;Stock markets;Volatility
    Date: 2011-09
    Issue Date: 2014-03-24 14:01:20 (UTC+8)
    Abstract: 本文以國際上市不動產投資信託（REITs）為研究標的，探究其指數日報酬之相關性與波動性，樣本期間自2005/12/1至2010/5/31。同時，我們亦研究國際股市之相關性以作為比較分析。本文主要利用動態相關性模型（DCC），分別檢視國際不動產證券市場報酬與股市報酬之跨時相關性。實證研究發現，國際不動產證券市場之相關性低於股市。此外，我們預計在全球次貸危機期間，相關性會存在結構性改變。透過DCC模型分析國際不動產證券市場之相關性與波動性，進而佐證國際市場的市場整合性與投資風險分散的財務意涵。
    In this paper, we examine international correlation and volatility of publicly traded real estate investment trusts (REITs) using daily returns from 2005/12/1 to 2010/5/31. We also study, in comparison, the correlations among equivalent stock markets. Based on a multivariate dynamic conditional correlation (DCC) model which captures the time-varying correlations within the full period, this paper empirically shows that there are lower correlations among the real estate security markets returns than among the stock markets returns. We forecast that variations and structural changes in the correlation structure happened within the sample period of subprime mortgage crises. Applying DCC methodology, our results have motivations concerning the potential integration of international real estate security markets and the possibility of including information on changing correlations and volatilities to set up more optimal portfolios of international real estate securities.
    Relation: 臺灣金融財務季刊, 12(3), 69-94
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    6994.pdf3462KbAdobe PDF21267View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    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。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    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。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback