| Summary: | 碩士 === 國立成功大學 === 國際企業研究所碩博士班 === 96 === The first REIT launched in Asia just six years ago so researchers have less information to study. And there are fewer research papers about the relation within Asia REIT, stock market, and interest rate. Resident investors hardly predict that if Asia REIT return is also affected vary much by stock market and interest rate as USA REIT.
This paper tries to figure out the relationship within Asia REIT, stock market, and interest rate. In addition to Taiwan, we also choose Japan and Singapore for our representative countries because they issued REIT earlier in Asia. We capitalize VAR model to test relationship within REIT return, stock market return, and interest rate. The results confirm that REIT returns of three countries are positive relative with the return of real estate stock index. Besides, Taiwan REIT is easier negative affected by long term interest rate and short term interest rate, but REIT return in Japan and Singapore are easier negative influenced by short term interest rate.
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