本研究目的為瞭解自然災害對於亞太地區REITs市場於報酬與波動風險的影響。藉由格蘭傑因果分析及多變量GARCH模型，分別探究過往十年，六則重大自然災害發生後，亞太地區六個REITs市場之報酬與波動外溢性。本研究結果顯示亞太地區REITs市場具有顯著的報酬與波動外溢性，意謂REITs投資人在面對巨災風險時，以多角化投資為避險之策略恐面臨效用減弱之情形。本研究結果亦給予一般大眾對於自然災害以及各國REITs市場間的關連性有初步的認知。

This paper examines how nature disasters affect the transmission of return and volatility among REITs markets of the US and other five Asia-Pacific countries. We use the Granger Causality and multivariate GARCH analysis to investigate whether there are volatility spillovers of REITs in international markets. Different from other papers which investigate how one disaster affects the whole stock markets; our research examines how the natural disasters in recent decade are interconnected with the REITs markets. Our result shows significant volatility spillovers in Asia-Pacific REITs markets when natural disaster happened, which give us an initial recognition of the relation between nature disasters and the volatility correlations in REITs markets.

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