本文選題：REITs　切入點(diǎn)：Copula函數(shù)　出處：《南開大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：中國(guó)大陸經(jīng)濟(jì)發(fā)展快速,未來發(fā)展重點(diǎn)將由出口帶動(dòng)經(jīng)濟(jì)成長(zhǎng)的引擎轉(zhuǎn)為以消費(fèi)及投資內(nèi)需為主的雙引擎；產(chǎn)業(yè)發(fā)展重點(diǎn)亦由制造業(yè)漸漸轉(zhuǎn)型為金融、資本市場(chǎng)、其它服務(wù)業(yè)中心。為達(dá)成此目標(biāo),金融商品不斷地推陳出新,尤其是衍生性商品,如期貨、期權(quán)、人民幣相關(guān)計(jì)價(jià)商品,REITs也是其中一項(xiàng)規(guī)劃的產(chǎn)品。因此,研究美日REITs發(fā)展經(jīng)驗(yàn),探討其投資組合風(fēng)險(xiǎn),對(duì)中國(guó)而言有極為重要的現(xiàn)實(shí)意義。 但以研究標(biāo)的而言,大部分文獻(xiàn)以單一市場(chǎng)為主,如美國(guó)、歐洲或日本的REITs為主,極少數(shù)進(jìn)行地區(qū)性REITs動(dòng)態(tài)關(guān)連性分析。就研究方法而論,大部分文獻(xiàn)應(yīng)用因子分析(Factor Analysis)、向量自我回歸(VAR)、雙變量GARCH波動(dòng)率模型探討相關(guān)議題,難以了解二變量間的靜態(tài)及動(dòng)態(tài)的相關(guān)程度。而就Copula相關(guān)性(dependence)、共移或外溢效果的研究文獻(xiàn)僅少數(shù)幾篇,顯然其應(yīng)用仍有較大的空間,且尚無文獻(xiàn)應(yīng)用在REITs的研究。 所以,本文除了探討美、日與臺(tái)灣地區(qū)REITs的發(fā)展歷史、優(yōu)點(diǎn)及特色外,亦比較次貸風(fēng)暴前后,美日兩地REITs的相關(guān)性。在方法上,除了運(yùn)用傳統(tǒng)的相關(guān)分析外,更透過靜態(tài)及動(dòng)態(tài)Copula關(guān)聯(lián)分析來進(jìn)行比較。此外,本文亦應(yīng)用歷史模擬法,變異—共變異數(shù)法,極端值模型及動(dòng)態(tài)Copula模型來求算美日REITs投資組合在次貸風(fēng)暴前后的風(fēng)險(xiǎn)值及績(jī)效,獲致的具體實(shí)證結(jié)果如下：第一,以Normal Copula模型最佳,但相關(guān)程度極低。表明日本的REITs報(bào)酬率并不受到美國(guó)REITs報(bào)酬率的影響。但次貸風(fēng)暴后,美日REITs報(bào)酬率的相關(guān)程度升高,但以Clayton Copula最佳。表明美國(guó)REITs報(bào)酬率會(huì)影響日本REITs報(bào)酬率。第二,本文分別采用動(dòng)態(tài)Normal Copula及動(dòng)態(tài)的Clayton Copula,結(jié)果發(fā)現(xiàn)次貸風(fēng)暴后具有顯著的傳染效果。意涵美國(guó)REITs艮酬率變動(dòng)會(huì)影響日本REITs報(bào)酬率。第三,正向及負(fù)向沖擊的影響機(jī)率是有顯著差異的。進(jìn)一步言之,即當(dāng)次貸風(fēng)暴發(fā)生后,美國(guó)REITs對(duì)日本REITs的沖擊影響明顯變大。第四,比較不同的風(fēng)險(xiǎn)值模型,可以發(fā)現(xiàn)在次貸風(fēng)暴前、后,歷史模擬法及變異—共變異法所評(píng)估的風(fēng)險(xiǎn)值較極端值模型低,但Copula所評(píng)估的風(fēng)險(xiǎn)值平均又高于極端值模型；而經(jīng)回溯測(cè)試結(jié)果可發(fā)現(xiàn),大部分的風(fēng)險(xiǎn)值模型在95%、97.5%的顯著水平下拒絕虛無假設(shè),但總體以Copula表現(xiàn)最佳。本文的研究結(jié)果除了做為中國(guó)未來發(fā)展REITs的參考外,亦可做為全球REITs投資組合及風(fēng)險(xiǎn)管理的參考。
[Abstract]:China, rapid economic development, the future development will be the focus of export led economic growth engine to double the engine to consumption and investment in domestic demand; industrial development focus from manufacturing industry gradually transformed into financial, capital market and other service center. To achieve this goal, financial products continue to emerge, especially derivative the goods, such as futures, options, RMB denominated commodities, REITs is also one of planning products. Therefore, research on US Japan REITs development experience, discuss the portfolio risk has very important practical significance to China.
But in order to study the subject, most of the literature on a single market, such as American, European or Japanese REITs, very few analysis of regional REITs dynamic relationship. The research methods are concerned, most of the literature by factor analysis (Factor Analysis), vector autoregression (VAR), bivariate GARCH volatility model study the related issues, it is difficult to understand the degree of correlation between the two variables of the static and dynamic. And the correlation between Copula (dependence), the research literature CO shift or spillover effect of only a few papers, obviously its application is still a large space, and there is no literature used in REITs research.
So, this paper will discuss the development history, beauty, and REITs in Taiwan area, advantages and characteristics, also compared before and after the subprime mortgage crisis, the correlation of REITs. In Japan the two methods, in addition to the use of traditional correlation analysis, through static and dynamic analysis of Copula correlation are compared. In addition, this paper also use the historical simulation method of variance covariance method, extreme value model and dynamic Copula model to calculate the REITs of portfolio risk in the subprime mortgage crisis and the value and performance, and obtain specific empirical results are as follows: first, based on Normal Copula model is the best, but the degree of correlation is very low. The REITs rate of return that Japan is not influenced by the United States REITs rate of return. But after the subprime mortgage crisis, the degree of correlation between Japan and the United States REITs rate of return increases, but with Clayton Copula. The best REITs rate of return that the United States will affect Japan's REITs return rate. In this paper second. Using dynamic Normal and dynamic Copula Clayton Copula, found that after the subprime mortgage crisis has significant effect. The meaning of the United States REITs infectious rate changes will affect Japan for Gen REITs returns. Third, positive and negative shocks the probability that there is a significant difference. Further to say, namely when the subprime turmoil the United States, the impact of REITs on Japan's REITs is significantly larger. Fourth, compare the different risk value model, can be found in the subprime mortgage crisis, risk, historical simulation method and variation - variation method to evaluate the value of extreme value model is low, but the risk assessment of the average value of Copula was higher than the extreme value model but after; back testing results can be found, most of the risk value model in 95%, 97.5% significant level under reject the null hypothesis, but the overall Copula with the best performance. The results of this study are made China future development RE ITs can also be used as a reference for global REITs portfolio and risk management.

【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F831.5

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本文編號(hào)：1599602