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Author: 王若竹
Ruo-Ju Wang
Thesis Title: 澳洲零售和辦公室不動產投資信託在疫情下的表現。
The Performance of Australia Retail and Office REITs under the outbreak of Covid-19.
Advisor: 張光第
Guang-Di Chang
Committee: 謝劍平
Joseph C.P. Shieh
劉代洋
Day-Yang Liu
繆維中
Wei-Chung Miao
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2023
Graduation Academic Year: 111
Language: 英文
Pages: 43
Keywords (in Chinese): 零售辦公室房地產投資信託基金投資組合存活率
Keywords (in other languages): Retail, Office, REITs, portfolio, Survival
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  • 本研究探討了在疫情影響下,澳洲的市場狀況與零售及辦公室 REITs 之間的關係 以及 REITs 的一般特徵和投資策略。我們應用 Granger Causality test, Johansen 協整檢驗、VAR、impulse reaction analysis 和存活率分析對 2017 年 1 月 1 日至 2021 年 8 月 31 日的數據進行分析。我們的結論是:(1)市場指 數會使部分 REITs 的回報率提高,(2)當每檔 REITs 的價格波動時,每檔 REITs 的回報率保持穩定,(3)零售和辦公室 REITs 自相關投資組合越長,投資組合就 越安全,並且 (4) Carindale Property Trust (CDP)這檔零售 REITs 在市場上表 現出最佳的存活率並且對於市場上的持續異常回報率有良好的抗性。綜上所述, 在全球市場受到疫情嚴重影響的情況下,澳大利亞的零售和辦公房地產投資信託 基金表現良好。


    This study examines the relationship between retail and office REITs and market indexes in Australia, as well as the general characteristics and investment strategies of REITs under the impact of the Covid-19. We apply Granger Causality test, Johansen cointegration test, VAR test, Impulse Reaction analysis and Kaplan Meier Survival analysis to analyze the data from Jan 1, 2017 to Aug 31, 2021. Our conclusions are: (1) an increase in the return of the market indexes will lead to higher returns of some REITs, (2) when the price of each REIT fluctuate, the return of each REIT remain stable, (3) the longer the self-correlated portfolio of retail and office REITs is, the safer the portfolio is and (4) Carindale Property Trust (CDP), a retail REIT, shows the best survival rate and the resistant of persistent abnormal returns in the market. To sum up, retail and office REITs in Australia perform well while the global market is severely affected by the pandemic.

    摘要............................................................................................................................... I Abstract ....................................................................................................................... II Acknowledgements.................................................................................................... III List of Figures ............................................................................................................. V List of Tables .............................................................................................................. VI 1.Introduction ............................................................................................................. 1 2. Literature review ..................................................................................................... 4 3. Data and Methodology:........................................................................................... 9 3.1 Data.................................................................................................................................9 3.2 methodology.................................................................................................................10 3.2.1 Descriptive Statistics: ........................................................................................... 10 3.2.2 Granger causality test:.........................................................................................11 3.2.3 Johansen Cointegration tests...............................................................................13 3.2.4 Augmented Dickey-Fuller test:............................................................................14 3.2.5 Vector Auto-Regression:......................................................................................15 3.2.6 Impulse Response Analysis:.................................................................................15 3.2.7 Survival analysis:..................................................................................................16 4. Results ................................................................................................................... 18 4.1 Results from descriptive statistics:.............................................................................18 4.2 Results from Granger causality test: .........................................................................20 4.3 Results from Johansen cointegration test..................................................................21 4.4 Results from Vector Autoregression Model ..............................................................22 4.5 Results from impulse analysis:...................................................................................24 4.6 Results from survival analysis....................................................................................25 5. Conclusion ............................................................................................................. 29 6. Reference ............................................................................................................... 31

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