A Study on Interaction of REITs and Stock Price- Weighted Index between Taiwan and U.S.: A Threshold Cointegration Model Approach

• Main Authors: Yu-min Chang, 張裕閔
• Other Authors: none
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/90133858348180651651

博士 === 國立高雄第一科技大學 === 管理研究所 === 100 === Abstract Since stocks and real estate are two of the main components of household portfolios, they are likely to catch people’s attention. Particularly, Real Estate Investment Trusts (REITs) are a means of real estate investment that provide good liquidity and good transparency. What is the relationship between the stock and REITs markets? Some studies believe that there is no correlation between these two; while others argue that there should be certain correlation. This study intends to gain an understanding of whether there is correlation between stock markets and REITs markets. This study intends to test the existence of asymmetric and non-linear effects between the REITs markets and stock markets in Taiwan and the U.S. by Vector Error Correction Model (VECM) and Threshold Vector Error Correction Model (TVECM). Through data analysis, the conclusions are as follows. First, the correlations between REITs markets and stock markets are non-linear in the United States and Taiwan. The correlations between hybrid REITs markets and stock markets are linear in the United States. Second, the correlations between REITs markets and stock markets are different on before financial tsunami and after financial tsunami in the United States and Taiwan. Finally, REITs markets are followed stock markets in the United States and Taiwan. This study is able to provide a reference to both retail and institutional investors so that they can be armed with more information concerning the timing of investments in the real estate and stock markets in order to make correct decisions.