Analyze the Relationship between REIT Capital Flows and Returns in United States and Taiwan

• Main Authors: Le Thi Tuyet, 黎氏雪
• Other Authors: Chen Mei-Ling
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/08738059081211272559

碩士 === 大葉大學 === 國際企業管理學系碩士班 === 96 === The purpose of this study is to examine the relationship between REIT capital flows and returns in United States and Taiwan and also examine the spillover effect between these two markets. Furthermore, we employ dividend yield and interest rate variable as control variables in our model to investigate whether the relationship between REIT capital flows and returns changes after controlling for interest rate and dividend yield variable. The result of Vector Autoregressive model indicates that in United States market, REIT capital flows are independent from the prior month’s capital flows, but subject to REIT returns. REIT returns is not impacted by REIT capital flows and its historical value before and after controlling both dividend yield and interest rate. United States REIT investors may follow momentum strategy. In Taiwan market, we find that REIT capital flows is independent from REIT returns and its past value, nevertheless REIT returns positively significantly influences its own behavior. Taiwan REIT investors may follow momentum in REIT returns. Impulse response function shows response of United States REIT capital flows and REIT returns continues longer than those of the Taiwan REIT market. Through spillover effect test, we find out that United States REIT price has strong impact on the price of Taiwan REIT.