本文檢驗自2006年–2010年期間全球不動產投資信託市場內的蔓延風險。本文首先利用相關係數分析判定國家間資產報酬相關係數是否於危機時點前後顯著改變，據以判斷潛在的蔓延風險，接著透過半母數及無母數統計量進一步檢測全球不動產投資信託市場內各別國家極端風險值(VaR)和國家間潛在蔓延風險發生機率是否於危機時點前後顯著改變，據此進一步判斷潛在的蔓延風險。較於一般主觀式地選擇危機時點，本文改以ICSS演算法偵測可能的危機發生時點。本文取樣的不動產投資信託市場包含全球16個國家，實證結果顯示在檢驗期間內，2007-2009的全球金融風暴顯著地升高了美國和它國的資產報酬關係，顯示全球不動產投資信託市場存在蔓延風險，故此不動產投資人在進行海外投資時須將不同於不動產投資信託的資產納入投資考量，以進一步建構風險分散的投資組合。

The aim of this study is to examine the presence of contagion risk in global REITs investment over a study period of 2006-2010. In order to examine the potential existence of contagion risk, this study applies a correlation coefficient analysis to determine if REITs return between-countries correlation coefficients are significantly changed during the investigated period, and also an extreme value analysis based on semi-parametric and non-parametric estimators to measure the global REITs returns univariate country-specific Value at Risk and the multivariate between-countries contagion risk. Compared to endogenous selections of breakpoints corresponding to the beginning and the end of the investigated contagion risk periods, this study detects sudden changes in asset return variances by the iterated cumulative sums of squares (ICSS) algorithm to retrieve potential time points of market panics. By using REITs indices daily data of 16 countries, this study finds significant evidence of contagion risk in REITs markets worldwide during Global Financial Crisis of 2007-2009. Therefore, a property investor based in the US has to consider asset classes other than REITs in portfolio asset allocation to further construct a well-diversified portfolio as they are expanding their investment overseas.

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