Analysis on the Correlation of International REITs Index Using Time Varying Copula: Evidence on Japan, USA, Australia and UK

• Main Authors: Cheng-Kang Chin, 金正綱
• Other Authors: Kuang-Liang Chang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/fc3pvq

碩士 === 國立嘉義大學 === 應用經濟學系研究所 === 103 === This thesis uses AR(L)-EGARCH(p,q)-t models combined with Time-varying nomal copula and mixed copula models to studies the dynamic nonlinear correlation and the tail dependence betwwen Japan’s REITs index and other three country’s REITs index. The empirical results suggest that the financial tsunami and Japan’s QQE policy 2013 changes the correlation and tail dependence between the REITs index of Japan’s and other country’s. In addition, before and after the financial tsunami, the correlation of J-REITs and US-REITs is the lowest, while the correlation of J-REITs and A-REITs the highest. Furthermore, J-REITs and US-REITs index, J-REITs and UK-REITs index are tail independent, while A-REITs and J-REITs index is tail dependent. Plus, A-REITs and J-REITs index have the lowest positive correlation after QQE 2013. Thus, the potfolio constructed in J-REITs and US-REITs performed the best risk diversification before 2013. Afterwards, the potfolio constructed in J-REITs and A-REITs has the best risk diversification.