Is Japan REIT a New Financial Commodity?

• Main Authors: Fang, Wan-Yi, 方婉怡
• Other Authors: Lee, Ah-Yee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/30114102243233152546

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 102 === This paper attempt to investigate that whether the J-REIT introduced a new kind of systematic risk to Japan’s financial market. We use the multi-factor latent-variable model to help us test the systematic risk of excess return between TOPIX index and J-REIT index. Our results indicate that J-REIT, being traded in the stock market, is strongly influenced by the movement of the stock market. We don't have enough evidence to reject the null hypothesis that there is only one risk factor between two financial assets. This can lead us to believe that the newly created J-REIT in Japan does not carry a different risk from that general stock market.