The Effect of Inflation on the Real Estate Investment Trusts Returns and Stock Returns and Volatility-An Empirical Research of Taiwan

• Main Authors: Shan-yu Shen, 沈珊羽
• Other Authors: Yung-chang Wang
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/9fh823

碩士 === 中國文化大學 === 財務金融學系 === 103 === To argue the correlation between stock returns and inflation, There are discrepancies between literature that whether REITs are as the same as the real estates to avoid inflation: some documents demonstrated REITs were not anti-inflation whereas others displayed REITs were anti-inflation in a manner that the returns of REITs were positively correlated with inflation. The study initially collected the data of T-REITs index, the Taiwan stock exchange capitalization weighted stock index, and monthly inflation ratio from March, 2005 to December 2012. Then utilizing Hodrick-Prescott Filter to separate expected and unexpected inflation and adopting asymmetric transmission model from Simpson, Ramchander, and Webb (2007); in the meanwhile, to set GARCH model to examine the influences of inflation, expected inflation, and unexpected inflation to the returns of T-REITs, the stocks returns, and the volatility to inflation. The results show that inflation would not influence the stock returns and the returns of REITs; real stocks returns would be declined by inflation albeit nominal stocks returns would not. These arguments render support to Fama's hypothesis. REITs are thus more like stocks than real estates. Additionally, positive inflation and unexpected inflation would increase the volatility of the stock returns and thus increase the risk of stock investment, whereas they would reduce the volatility of the REITs returns. This statement affirms that REITs are more like real estates than stocks.