台灣不動產投資信託基金之抗跌與風險特性

The Defensive and Risk Characteristics of REITs in the Taiwan Stock Market

雖然不動產投資信託基金（real estate investment trusts, REITs）常被視為是防禦性（defensive）證券，但文獻上對於此資產特性的研究尚有一些爭議。因此本文希望藉由檢視我國REITs的風險性特性來提供投資人客觀的投資依據。本研究以2006年1月至2009年5月為樣本期間，檢視目前已上市的八檔REITs，發現其低風險的特性可顯現在對特殊事件的抗跌能力上。如在台股當日或隔夜有巨幅下跌時，REITs的下跌幅度明顯的比非REITs的股票低；此外，若與一般同被視為防禦性股票的國營企業類股或同屬收益與不動產相關的飯店百貨類股相較時，REITs也顯現較高的抗跌性。而在分散風險的能力方面，REITs與大盤的相關性無論是以線性或非線性來衡量，都較其他股票為低。最後本文以GJR-GARCH（Glosten Jagannathan Runkle-generalized ARCH）模型，檢視REITs是否具有波動性的不對稱效果時，發現有五檔REITs及REITs指數都具有顯著的反向槓桿效果（anti-leverage effect），其說明當前一期的新進衝擊是負向影響股價報酬時，本期報酬的波動反而會降低，此與一般股票的波動特性恰好相反，更說明REITs的抗跌優勢。

Although Real Estate Investment Trusts (REITs) are usually viewed as assets with lower risk and higher yields, there is little agreement on the characteristics of these assets in the literature. Hence, this research seeks to examine the defensive and risk characteristics of REITs in Taiwan to provide objective advice for investors. Using daily data from January 2006 to May 2009 to observe the performance of eight listed REITs, this paper shows that the decline in REIT values is much smaller than the decline in non-REIT values on the dates when the Taiwan stock market collapsed. The decline is also more defensive than for the stocks of the utility companies, and hotel and department store industries. Furthermore, the REITs in Taiwan are found to perform well in terms of diversifying risk, since the relationships between the REITs and the stock market are very insignificant in this study. Finally, this paper uses the Glosten Jagannathan Runkle-generalized ARCH model and finds that five REITs exhibit an anti-leverage effect. That is, when the lagged innovations are negative, the volatility of current returns is found to decrease.