The REITs' Behavior and the relationship with Interest Rate in Japan

REIT's的行為及利率的關係以日本為例

林惠娜(Hui-Na Lin)；鄭茜文(Chien-Wen Chen)

REITs ； 避險 ； 利率風險 ； 固定收益 ； 多元迴歸模型 ； REITs ； hedge ； interest rate risk ； fixed income ； multivariate regression models

致理學報

35期（2015 / 11 / 01）

35 - 56

英文

本研究利用多元迴歸模型調查日本利率(包括10年公債與3個月國庫券)與日本REITs指數報酬的關係。除10年公債與3個月國庫券外，我們也使用不動產指數與日經指數檢驗REITs的行為。實證結果顯示，10年期公債利率及3個月國庫券顯著影響日本REITs指數報酬。此結果說明：由於日本REITs市場的風險，投資者會將資金從REITs市場撤離，並將其資金投資在安全的投資工具，例如：固定收益證券。這個結果為投資者提供建議以固定收益證券，例如10年期公債或3個月國庫券來規避REITs指數的下跌。另外我們分析平均報酬與標準差，發現REITs指數行為較像股票較不像固定收益證券。但是當我們分析多元迴歸模型，REITs指數行為較像不動產，較不像股票指數報酬及固定收益。

This study employs multivariate regression models to investigate the relationship between interest rate (10-year bond and 3month treasury rate) and REITs return in Japan. Besides 10-year bond and 3month treasury rate we use real estate index and Nikii stock index to investigate REITs' behavior This study empirically shows that 10-year bond interest rate and 3 month treasury interest rate will significantly and negatively affect REITs return. The result indicates that, due to REITs market risk, investors will withdraw their money away from REITs, and invest their funds in safe instruments such as fixed income markets. This result provides suggestions for investors to hedge their monies in fixed income securities such as 10 years bond or 3 month treasury to avoid REITs return downturn. Moreover, when we analyze mean return and standard deviation, REITs behave more like stock than fixed income and stock. However, when we analyze with multiple regression model, REITs behave more like real estate than stock and fixed income.