The Impact of the Macroeconomic Factors on REITs Index Returns – for Examples of the Four Asian Countries

• Main Authors: Yu-Hsin Yu, 游裕興
• Other Authors: Hao Fang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/73863926901555062039

碩士 === 華夏技術學院 === 資產與物業管理研究所 === 101 === This study uses an Autoregressive Distributed Lag (ARDL) bounds test to determine whether there is long-term relationship between the interest rate,inflation rate, stock index and REITs index in the Asian countries.The results show that a long-run equilibrium exists between the three macroeconomic variables and REITs index for China and Singapore.Then,I separately adopt an ARDL long-run model and the error-correction model (ECM) to analyze the long-run and short-run elasticity for the macroeconomic variables on REITs index. Moreover,using the Granger non-causa lity test,This study demonstrate that there exists an unidirectional causality ru nning from inflation rate to REITs index in Japan and Singapore and an unidirecti onal causality running from stock index to REITs index in Singapore.Finally,I fin d that the variance percentage of REITs index is mainly from the impact of stock index in China and Singapore and from the impact of inflation rate in Japan and Hong Kong.The findings support economic implications for investors seeking to gai n from REITs referring to the macroeconomic factors in the four Asian countries with the largest REITs market value.