REITs市场的风险及其传染研究

发布时间：2018-03-11 19:34

  本文选题：REITs　切入点：Copula函数　出处：《南开大学》2013年博士论文　论文类型：学位论文

【摘要】：中国大陆经济发展快速,未来发展重点将由出口带动经济成长的引擎转为以消费及投资内需为主的双引擎；产业发展重点亦由制造业渐渐转型为金融、资本市场、其它服务业中心。为达成此目标,金融商品不断地推陈出新,尤其是衍生性商品,如期货、期权、人民币相关计价商品,REITs也是其中一项规划的产品。因此,研究美日REITs发展经验,探讨其投资组合风险,对中国而言有极为重要的现实意义。 但以研究标的而言,大部分文献以单一市场为主,如美国、欧洲或日本的REITs为主,极少数进行地区性REITs动态关连性分析。就研究方法而论,大部分文献应用因子分析(Factor Analysis)、向量自我回归(VAR)、双变量GARCH波动率模型探讨相关议题,难以了解二变量间的静态及动态的相关程度。而就Copula相关性(dependence)、共移或外溢效果的研究文献仅少数几篇,显然其应用仍有较大的空间,且尚无文献应用在REITs的研究。 所以,本文除了探讨美、日与台湾地区REITs的发展历史、优点及特色外,亦比较次贷风暴前后,美日两地REITs的相关性。在方法上,除了运用传统的相关分析外,更透过静态及动态Copula关联分析来进行比较。此外,本文亦应用历史模拟法,变异—共变异数法,极端值模型及动态Copula模型来求算美日REITs投资组合在次贷风暴前后的风险值及绩效,获致的具体实证结果如下：第一,以Normal Copula模型最佳,但相关程度极低。表明日本的REITs报酬率并不受到美国REITs报酬率的影响。但次贷风暴后,美日REITs报酬率的相关程度升高,但以Clayton Copula最佳。表明美国REITs报酬率会影响日本REITs报酬率。第二,本文分别采用动态Normal Copula及动态的Clayton Copula,结果发现次贷风暴后具有显着的传染效果。意涵美国REITs艮酬率变动会影响日本REITs报酬率。第三,正向及负向冲击的影响机率是有显着差异的。进一步言之,即当次贷风暴发生后,美国REITs对日本REITs的冲击影响明显变大。第四,比较不同的风险值模型,可以发现在次贷风暴前、后,历史模拟法及变异—共变异法所评估的风险值较极端值模型低,但Copula所评估的风险值平均又高于极端值模型；而经回溯测试结果可发现,大部分的风险值模型在95%、97.5%的显着水平下拒绝虚无假设,但总体以Copula表现最佳。本文的研究结果除了做为中国未来发展REITs的参考外,亦可做为全球REITs投资组合及风险管理的参考。
[Abstract]:China, rapid economic development, the future development will be the focus of export led economic growth engine to double the engine to consumption and investment in domestic demand; industrial development focus from manufacturing industry gradually transformed into financial, capital market and other service center. To achieve this goal, financial products continue to emerge, especially derivative the goods, such as futures, options, RMB denominated commodities, REITs is also one of planning products. Therefore, research on US Japan REITs development experience, discuss the portfolio risk has very important practical significance to China.
But in order to study the subject, most of the literature on a single market, such as American, European or Japanese REITs, very few analysis of regional REITs dynamic relationship. The research methods are concerned, most of the literature by factor analysis (Factor Analysis), vector autoregression (VAR), bivariate GARCH volatility model study the related issues, it is difficult to understand the degree of correlation between the two variables of the static and dynamic. And the correlation between Copula (dependence), the research literature CO shift or spillover effect of only a few papers, obviously its application is still a large space, and there is no literature used in REITs research.
So, this paper will discuss the development history, beauty, and REITs in Taiwan area, advantages and characteristics, also compared before and after the subprime mortgage crisis, the correlation of REITs. In Japan the two methods, in addition to the use of traditional correlation analysis, through static and dynamic analysis of Copula correlation are compared. In addition, this paper also use the historical simulation method of variance covariance method, extreme value model and dynamic Copula model to calculate the REITs of portfolio risk in the subprime mortgage crisis and the value and performance, and obtain specific empirical results are as follows: first, based on Normal Copula model is the best, but the degree of correlation is very low. The REITs rate of return that Japan is not influenced by the United States REITs rate of return. But after the subprime mortgage crisis, the degree of correlation between Japan and the United States REITs rate of return increases, but with Clayton Copula. The best REITs rate of return that the United States will affect Japan's REITs return rate. In this paper second. Using dynamic Normal and dynamic Copula Clayton Copula, found that after the subprime mortgage crisis has significant effect. The meaning of the United States REITs infectious rate changes will affect Japan for Gen REITs returns. Third, positive and negative shocks the probability that there is a significant difference. Further to say, namely when the subprime turmoil the United States, the impact of REITs on Japan's REITs is significantly larger. Fourth, compare the different risk value model, can be found in the subprime mortgage crisis, risk, historical simulation method and variation - variation method to evaluate the value of extreme value model is low, but the risk assessment of the average value of Copula was higher than the extreme value model but after; back testing results can be found, most of the risk value model in 95%, 97.5% significant level under reject the null hypothesis, but the overall Copula with the best performance. The results of this study are made China future development RE ITs can also be used as a reference for global REITs portfolio and risk management.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.5;F831.5

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