通貨膨脹對不動產投資信託基金與 股票報酬率及波動性之影響-台灣之實證研究

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/30069

Title:	通貨膨脹對不動產投資信託基金與股票報酬率及波動性之影響-台灣之實證研究 The Effect of Inflation on the Real Estate Investment Trusts Returns and Stock Returns and Volatility-An Empirical Research of Taiwan
Authors:	沈珊羽 Shen, Shan-yu
Contributors:	財務金融學系
Keywords:	不動產信託基金通貨膨脹報酬率波動性 T-REITs inflation return rates volatility
Date:	2015-06
Issue Date:	2015-08-04 11:08:25 (UTC+8)
Abstract:	不動產具通貨膨脹避險功能，以不動產為標的物的REITs是否也具通貨膨脹避險功能？現有文獻意見分歧，有些文獻發現REITs呈現逆向通貨膨脹避險的現象，但有些文獻則發現REITs報酬率與通貨膨脹呈現正向關係而具有通貨膨脹避險功能。本文收集2005年3月至2012年12月T-REITs指數、台灣股票市場加權指數(股票指數)和通貨膨脹率之月資料，利用Hodrick-Prescott Filter將通貨膨脹分成預期和非預期，並採用不對稱反應模式Simpson, Ramchander, and Webb (2007)，設立GARCH模型，分別檢視通貨膨脹、預期通貨膨脹和非預期通貨膨脹對T-REITs報酬率和股票報酬率及其波動性的影響。本文發現(一)通膨對股價報酬率和REITs報酬率都無影響，名目報酬率雖不受通膨的影響，但實質報酬率會因通膨而下降，故二者支持Fama假說。從這一個觀點來看，REITs像股票，不像不動產，即無抗通膨的特性。(二)二者不同的地方在於，正通膨和非預期正通膨會擴大股價報酬率的波動性，即投資股票的風險上升，但卻縮小RE報酬率的波動性，即投資REITs的風險下降。從這一點來看，REITs不像股票，像不動產。 To argue the correlation between stock returns and inflation, There are discrepancies between literature that whether REITs are as the same as the real estates to avoid inflation: some documents demonstrated REITs were not anti-inflation whereas others displayed REITs were anti-inflation in a manner that the returns of REITs were positively correlated with inflation. The study initially collected the data of T-REITs index, the Taiwan stock exchange capitalization weighted stock index, and monthly inflation ratio from March, 2005 to December 2012. Then utilizing Hodrick-Prescott Filter to separate expected and unexpected inflation and adopting asymmetric transmission model from Simpson, Ramchander, and Webb (2007); in the meanwhile, to set GARCH model to examine the influences of inflation, expected inflation, and unexpected inflation to the returns of T-REITs, the stocks returns, and the volatility to inflation. The results show that inflation would not influence the stock returns and the returns of REITs; real stocks returns would be declined by inflation albeit nominal stocks returns would not. These arguments render support to Fama's hypothesis. REITs are thus more like stocks than real estates. Additionally, positive inflation and unexpected inflation would increase the volatility of the stock returns and thus increase the risk of stock investment, whereas they would reduce the volatility of the REITs returns. This statement affirms that REITs are more like real estates than stocks.
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