Dynamic Modelling of Real Estate Investment Trusts and Stock Markets

摘要: article i nfo Article history: Taiwan launched the first case of real estate securitization in 2005. The interrelationship between Real Estate Investment Trusts (T-REITs) and aggregate equity markets segmented industries has drawn interests both investors academia. This paper employs Toda Yamamoto's (1995) pro- cedure generalized impulse response approach to uncover extent magnitude rela- tionship T-REITs stock prices. We collected daily data two issued T-REITs, Fubon No.1 Cathay No. 1, from March 2005 2010 October 2010, respectively, examine their causal relationships with markets, financial sector, construction sector. empirical results indicate that all variables have break points, reflecting shocks Subprime Mortgage Crisis or deregulation Qualified Domestic Institutional Investors (QDII) for Mainland Chinese invest Taiwan. also discover an individual T-REIT may lead lag behind price indices due its capitalization scale business type. transitory initial impacts innovations on are observed herein.