Contagion effect of real estate investment trust under extreme returns-Evidence from Asia and US

• Main Authors: Wang,Yi-Wen, 王羿雯
• Other Authors: Lee,Mei-Hsing
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/345ngm

碩士 === 國立臺北大學 === 統計學系 === 102 === This article observe the Real Estate Investment Trust in five countries（Taiwan, Japan, Singapore , Hong Kong, America）. To discuss the REITs market’s CoVaR and a contagion effect when extreme events occur. First, we use Historical simulation approach to estimate the REITs index’s VaR. Second, we use the quantile regression to estimate the REITs market’s CoVaR and risk spillover for different quantile. In addition, we intend to develop crossover CoVaR between the REITs markets, to find the impact in other countries when extreme events occur, and select different countries as a condition of the country that the most affected countries will also change. Besides, we discuss the two period (November 2005 to March 2014) and (March 2007 to March 2014), to observe whether the subprime occur after the relations among the countries will be closer. Our empirical results show that the five countries will impact each other during extreme events. In Taiwan REITs market, the top systematic risk contributor of country is America.