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台湾不动产与其他资产关联结构分析

【中文摘要】:本研究藉由观察不动产与其他资产之关联性,以台湾投资人的角度出发,试图为台湾投资人提供投资组合建构之参考。首先遴选台湾投资人可接触度较高之股票、利率、美元、黄金,并加入影响经济甚巨的原油,以1974年至2012年之长期资料检视这五项资产与不动产之关联结构,资料频率则为季资料。
  考虑到资产报酬率多具有波动结构不对称与时间序列等特性,因此本研究採用GJR-GARCH-skew t作为各资产报酬边际分配之模型。再者,传统多变数机率分配如多元常态分配在使用上有结构对称、边际分配必须为常态分配等诸多限制,故以copula模型连结各资产。而再考量到相关係数可能因时而异,故除了静态copula模型外,亦採用动态copula模型。最后,本研究试以copula vine联结六项资产为一机率分配,藉以观察各资产间的关联。
  本研究实证结果显示,不动产在六项资产中明显具有高报酬率、低波动性,且与其他资产之线性相关係数均不高。而不论在静态copula或动态copula的估计结果里,不动产均与其他资产无长期且明显的相关。最后,copula vine的实证结果也显示不动产并非各资产间相互影响的桥樑。由上述结果可知,不动产具有与其他任何资产关联性均低的性质,加上稳定的高报酬率,显见在投资组合中加入不动产对分散风险与提升报酬应具有良好的效果。另外,在动态copula分析中,本研究亦观察到房地产与其他资产的关联会受国内中央银行调控方向、中台外交事件、中东情势、国际金融危机四大因素影响。故本国投资人应按照事件性质略为调整其投资组合。
【英文摘要】:This study investigates whether we can improve the portfolio performance by adding real estate when constructing a portfolio from the perspective of Taiwanese investors by observing the relationship between real estate and other assets. In order to focus on Taiwanese investors, this study selects five assets which are easily accessible to them, including stock, interest rate, US dollar, gold, and especially oil, which has a significant influence to economy. And the seasonal data from 1974 to 2012 is involved in this paper.
  Considering the return of assets, this study takes GJR-GARCH-skew t as marginal distribution of each asset. Traditional multivariate probability distribution, such as normal distribution, has several constraints, including the symmetric structure and the normal marginal distribution, and so on. However, the assumptions are different from the reality. Copula, which allows asymmetric structure involve in joint distribution, and is flexible in choosing marginal distribution, is a method frequently used to solve these problems in recent years. Furthermore, considering that correlation coefficient is fluctuant with time, this study uses both static copula and dynamic copula. Finally, we use copula-vine to simply connect all variants to observe the relationship between assets.
  Empirical Results show that real estate not only has significantly higher return and lower variance, but also has low correlation coefficient with other assets. No matter in static copula model or dynamic copula model, there is no significant evidence reveals that real estate is related to other assets in the long run. In copula-vine model, the result shows that real estate is not bridge between other assets. By the foregoing, real estate features high and stable return, relatively low variance and low correlation with other assets. Therefore, if investors add the real estates in their portfolios, it can enhance the performance of their portfolios. Besides, in dynamic copula analysis, this study finds that the correlation between real estates and other assets mainly influenced by four types of events, including policies of Central Bank of the Republic of China, the diplomatic events between Taiwan and mainland China, the condition of the Middle East and international financial crisis. As a result, this study suggests that domestic investors should adjust their portfolio by these events.
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  • 来源:中山大学;作者:程涵毅
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