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研究生： 羅怡如
Yi-Ju Lo
論文名稱： Volatility transmission between REITs and three other financial assets in the EU
Volatility transmission between REITs and three other financial assets in the EU
指導教授： 張光第
Guang-Di Chang
口試委員: 陳聖賢
Sheng-Xian Chen
張順教
Shun-Chiao Chang
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 39
外文關鍵詞： EGARCH, IRF, European Union
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    • This study examines the volatility transmission from returns of three other asset classes, namely, equities, bonds and currencies to European listed REITs returns. We utilize the generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and Impulse Response Function (IRF) models to analyze asymmetries in conditional correlation. The sample is from June 2010 to July 2014. The empirical results show a significant negative transmission effect from equities to REITs except Greece. During the European sovereign debt crisis, the negative volatility transmission effect from stock to REITs markets is significantly widened. Our results have significant economic implications regarding the time‐dependent diversification benefits of REITs in a mixed‐assets portfolio and return characteristics of REITs.

    Contents Abstract 3 1. Introduction 4 2. Literature review 7 3. Data and Methodology 11 3.1. Data 11 3.2. Methodology 13 3.2.2 Multivariate GARCH Model 15 3.2.3 Impulse Response Function (IRF) 17 4. Empirical results 18 4.1. Results from GARCH(1,1) model 18 4.2. Results from EGARCH(1,1) model 22 4.3. Results from Impulse Response Function 26 5. Conclusions 31 Acknowledgements 33 References 34

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