| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士班 === 98 === Our study focuses on the United States and Japan, Taiwan, of the U.S. stock market for Japan, Taiwan stocks and REITs markets, and select the January 1, 2006 to 2010 on May 31 during the day in Taiwan and Japan's REITs (J-REITs, T-REITs) and with time, Taiwan and Japan and the market index as market research sample, to explore the U.S. stock market and Taiwan and Japan before and after the stock market and REITs in the event of interaction in order to understand this two financial products, but also help to improve the expectations of investors for investment in the stock market and the market performance of REITs.
This study is the use of E-Views6.0 software to analyze the U.S. stock market and Taiwan and Japan the relationship between stock market and REITs. First, the sample data Chow test, data segmentation, analysis of data on the partition, and finally using
the causality test and forecast error variance decomposition analysis show the results of regression model, and finally concludes with the U.S. stock market in Taiwan, Japan shares The relationship between the market and REITs. The empirical results show that after the incident, the U.S. stock market does affect Taiwan and Japan stock market and REITs market, and the event itself is on the U.S. stock market, and Taiwan, Japan and the relationship between cause changes in the country, although the extent of this impact is not the same But the incident also shows that the U.S. subprime mortgage
market, and Taiwan and Japan stock market and REITs very significant market impact.
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