教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:The Relationship between Oil Price Growth and REIT Returns
學年98
學期1
出版(發表)日期2009/11/01
作品名稱The Relationship between Oil Price Growth and REIT Returns
作品名稱(其他語言)
著者Chang, T.H.; Huang, Chien-Ming; Lee, M.C.
單位
出版者
著錄名稱、卷期、頁數International Research Journal of Finance and Economics 33, p.120-133
摘要This investigation adopts the autoregressive conditional jump intensity model proposed by Chan and Maheu (2002) to capture the characteristics of the time-varying and jump phenomena, and investigates the influence of expected-and unexpected crude oil fluctuations on Real Estate Investment Trusts (REITs). Furthermore, this study re-examines the relationship between REIT returns and other markets as bond and stock market. The analytical results reveal that REIT returns rise in response to increase in expected oil price and provide a good partial hedge. However, it also implicates that REIT returns have a downside risk during the period of deflation. Additionally, stock market returns reflect relevant information about REITs or real estate, and REITs are negative sensitivity to changes in interest rates, and are more sensitive in the long term than in the short term.
關鍵字
語言英文(美國)
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
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