The Relationship among REIT, Large Cap Stocks, Small Cap Stocks and Bond - A Case Study of Japan

• Main Authors: Ling-jung Hsu, 許靈容
• Other Authors: Shew-huei Kuo
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/84203543935274619846

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This paper apply a asymmetric generalized dynamic conditional correlation GARCH model by Cappiello, Engle and Sheppard(2006) to investigate the volatility of dynamic conditional correlation, volatility asymmetry, and clustering effects among JREIT, Large Cap Stocks, Small Cap Stocks, and Bond in Japan. We also use the Bai and Perron(2003) methodology to test for multiple structural breaks in the volatility index for 4 assets within Japan, and to further explore the impact and changes in asset return volatility and correlation before and after the break point. The empirical results show that the volatility index in JREIT, Large Cap Stocks, Small Stocks, and Bond all have structural break points, and the time of structural break points is consistent with the U.S. sub-prime mortgage crisis.After considering the structural breaks during the study period, we found that the dynamic conditional correlation are to improve and there is the effect of the asymmetric volatility among JREIT, Large Cap Stocks, Small Stocks, and Bond.