本研究主要檢驗在2006年至2012年間所發生之次貸危機與歐洲主權債務危機時存在於不動產投資信託、貨幣、權益、債券與外匯市場間的跨資產蔓延效果，藉由格蘭傑因果分析與向量自我回歸模型檢驗美國市場間資料。本研究顯示在兩個金融危機中，蔓延效果主要從債券市場蔓延至權益市場；不動產投資信託與貨幣市場只有少數與其他資產間的蔓延效果，意謂著投資人能藉由調整資產至不動產投資信託與貨幣市場取得多角化的利益；然而此時外匯市場對於投資人多角化的有不利影響。

This study examines the evidence of cross-asset contagion among the important assets which included the REITs, money markets, equity, bond and currency markets over 2006-2012 when the subprime crisis and European sovereign debt crisis occur. We apply the Granger causality test and VARs to examine the change of causality structure with the U.S. data, which has the largest REITs markets in the world. Our results conclude that the evidences of most cross-asset contagion effect are from bond market to equity market. REITs and money markets have the benefits of diversification because of little evidence of cross-asset contagion with other assets. However, the currency market is not beneficial to investors.

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