碩士 / 朝陽科技大學 / 財務金融系碩士班 / 100 / The main object of research for the dynamic correlations among test contagion effect of the crisis on America, North America, Europe, Asia and Oceania REITs market under financial tsunami by using correlation coefficients and GJR-GARCH model. The sample period of this research is from September 14, 2007 to March 14, 2009.
The empirical results show that the after financial tsunami the correlation coefficient between the American and worldwide REITs co-movement markedly increased. In addition, worldwide REITs were caused more obvious asymmetric volatility in some countries. The co-movement and volatility spillover collected show that the Canada, Germany, Japan and Australia have short-term contagion effects and Taiwan and Hong Kong have long-term contagion effects. The results show with the financial tsunami and crisis occurring the commercial trade between neighboring countries of contagion influence and partner countries more severe with American.
| Identifer | oai:union.ndltd.org:TW/100CYUT5304035 |
| Date | January 2012 |
| Creators | Pei-Rou Huang, 黃佩柔 |
| Contributors | Kuo-Chung Chiou, 邱國欽 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 45 |
Page generated in 0.0176 seconds