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 en_US
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116965 )

SDGS 尊嚴就業與經濟發展,產業創新與基礎設施