| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === This paper is to analyze the relationship between REIT returns and turnover and to investigate whether there are any return variations before and after the 2007-08 subprime crisis. We use OLS regression model, cross-autocorrelations, the vector autoregressions model (VARs), and generalized autoregressive conditional heteroscedasticity (GARCH) to test to investigate the relationship and to analyze the volatility transmission. The sample is from January 2007 to December 2014 and we divide it to 3 different time periods (pre, in, and after-subprime crisis). The empirical results show that there is no statistically significant linear relation between REIT returns and turnover in all sample period but there is relation in pre and after-crisis. Our results indicate that turnover do affect REIT returns in some subperiods.
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