股票與不動產投資信託的蔓延效果及安全投資轉移：以希臘主權債務危機為例Contagion or Flight to Quality between the Stock and REITs Markets: Greek Debt Crisis

本研究建構一個整合的估計模型，稱為t分配下與時俱變相關係數多變量GJR模型(VC-MGJR-t model)，以檢定蔓延效果與安全投資轉移的現象。本模型拓展Tse & Tsui(2002)與時俱變相關係數多變量GARCH模型(VC-MGARCH model)，可同時捕捉變異數異質性、波動不對稱性、與時俱變的相關係數、外溢效果以及高峰胖尾分配型態的金融資產報酬特性。結果顯示在希臘主權債務危機的衝擊下，除義大利的REITs市場外，其餘國家的REITs蔓延效果皆呈現不顯著。此外，希臘的RETIs市場在危機發生後一至三個月，皆呈現安全投資轉移的現象。本文建議REITs能作為危機發生時之避險工具，投資人可透過REITs商品以避免投資損失。

This study sets up an integrated multivariate GJR model with time-varying correlation based on the t distribution (VC-MGJR- t) to test the contagion effect and flight to quality during a financial crisis. We extend the MGARCH model by Tse & Tsui (2002) to address conditional heteroskedasticity, asymmetric volatility, time-varying correlation, spillovers, and fat-tailed distributions simultaneously. The empirical results reveal the presence of a contagion effect only in Italy during the Greek debt crisis period. The flight-to-quality effects from stocks to REITs were found to exist in Greece 1-3 months after a financial crisis. We therefore suggest that investors could use REITs for hedging and decreasing their losses.