金融海嘯蔓延效應—以REITs市場為例Financial Tsunami and Contagion Effects: Evidence from the REITs Markets

2007年次貸風暴所引起金融海嘯，造成全球金融市場莫大的影響。此金融危機是否對其他國家(地區)REITs市場產生蔓延效應呢？本文旨在利用Forbes and Rigobon(2002)所提出的異質偏誤(heteroscedasticity biases)的非條件相關係數方法與GJR-GARCH模型來進行檢測。其實證結果發現：因2007年次貸風暴所引發之金融海嘯對規模較小及發行檔數較少的REITs市場國家(地區)如台灣、香港所造成的蔓延效應最為明顯，此意謂市場規模愈小國家(地區)及發行檔數較少愈受國際金融事件所波及，此一研究結果對台灣REITs市場發展尤具意義。

關鍵詞：金融海嘯、蔓延效應、不動產投資信託、相關係數、GJR-GARCH模型

The global financial tsunami triggered by the subprime mortgage crisis in 2007 substantially influenced global financial markets. Did contagion occur among the real estate investment trust(REIT) markets during the crisis? This paper investigate whether there was contagion by using the unconditional correlation coefficients suggested by Forbes and Rigobon(2002) and GJR-GARCH models. During the global financial tsunami in 2007; the most prominent contagion was found in small REITs markets and fewer issuances such as those in Taiwan and Hong Kong. This implies that countries with smaller markets and fewer issuances are more vulnerable to international financial distress. This finding has numerous implications for developing the Taiwan REIT market.

Key words: Financial Tsunami, contagion, REIT, correlation coefficients, GJR-GARCH model