An Empirical Study of the Price Relation of REITs, Index, ETF and Futures:The Case of Taiwan and U.S.
| Autor: | Sie,Yi-Lin, 謝宜霖 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 The purpose of this paper is to find the price relation of REITs, stock index, ETF and index futures with time series data in Taiwan and U.S.We want to study whether index or futures is the lead of REITs and to find the influence and relation of REITs, index, ETF and futures. The investment porfolio of Fubon No.1 REIT, Shin Kong No.1 REIT and Cathay No.1 REIT from Taiwan and MSCI REITs from U.S. are used as the indicator of REITs. Besides, three variables, index, ETF and futures, are selected as research targets. Using VAR model, the major results are as follows: for the part of Taiwan,(1)the four commodities are all I(1)series, and there is no long-term equilibrium relation among REITs, index, ETF and futures by using cointegration test of Johansen(1998);(2)there is only single causality between REITs and index or futures respecdtively by Granger causality test and VAR model. For the part of U.S.,(1)the four commodities are all I(1)series for the test of the series of S＆P500, and there is no long-term equilibrium telation among REITs, index, ETF and futures by using integration test of Johansen(1998);(2)there is no any causality among REITs, index, ETF and futures by Granger causality test and VECM model. For the test of the series of Dow Jones Industrial Average,(1)the four commodities are all I(1)series, and there is no long-term equilibrium relation among REITs, index, ETF and futures by using cointegration test of Johansen(1998);(2)there is no and causality relation among REITs, index, ETF and futures by Granger causality test and VAR model. For the test of the series of NYSE composite of index,(1)the four commodities are all I(1)series, and there is a long-term equilibrium relation among REITs, index, ETF and futures by using cointegration test of Johansen(1998);(2)REITs have a single causality with index, ETF and futures respectively by using Granger causality test and VECM model. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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