The Dynamic Analysis of the impact on Returns and Risks Factors on Real Estate Investment Trust in North American

• Main Authors: Chiang Shu-Chi, 江淑綺
• Other Authors: Lai Wun-Kuei
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/31645569040867210599

碩士 === 大葉大學 === 國際企業管理學系碩士班 === 96 === The aim of this study is going to investigate the interactive relationship of macroe-conomic variables on North American real estate investment trust return. The macrova-riables under research include the stock market return, the inflation rate, interest rate, the unemployment rate, industry growth rate, the currency supply of North Ameri-can(American and Canada). This study makes use of the measures of Unit Root Test, Granger Causality Test, VAR model to investigate the relation between North American real estate investment trust return and macroeconomic variables. The empirical evidences show that the stock market return has a strong influence on American long-term real estate investment trust, followed by inflation rate, currency supply, industry growth rate, interest rate, and the unemployment rate has a minor impact on American long-term real estate investment trust. On the other hand, the stock market return has a strong influence on Canada long-term real estate investment trust return, fol-lowed by interest rate, inflation rate, industry growth rate, unemployment rate, and the currency supply has a minor impact on Canada long-term real estate investment trust.