한미 리츠가격지수의 수익률 특성비교 분석

• 발행기관: 한국지역개발학회
• 저자명: 서원형 유정석
• 간행물 정보: 『한국지역개발학회 세미나 논문집』2012년 춘계학술대회 발표집, 395~434쪽, 전체 40쪽
• 주제분류: 사회과학 > 지역학
• 파일형태: PDF
• 발행일자: 2012.05.30

영문 초록

Compared to the US where REITs price indices are widely used after REITs being introduced in 1960, Korea has a much shorter history, thus ending up in the absence of a REITs price index with a public confidence. Through this research, REITs price indices are calculated from MCI and EWI models for an index especially reliable in the Korean market. Stylized facts, expected to be seen in distributions of returns on REITs in Korea and the US, are undergone a comparative analysis amongst many different GARCH models. A study was performed to find out the existence of risk premiums by examining the sensitivity of the US and Korean REITs markets to global financial crises. Furthermore, a testing was done to find out the difference in volatility persistence among equity, mortgage, and hybrid REITs in the US. The main research findings of this papers are as follows. First, GARCH-M analysis showed that there was a risk premium in the US equity REITs before the financial crises but not in Korean REITs. Second, stocks were most influential to REITs itself before the financial crisis and to hybrid REITs after the financial crisis in the US. Korean REITs were highly influenced by stocks both before and after the financial crisis while the phenomenon intensified after the financial crisis. Third, the GARCH effect lasted longer after the financial crisis in both Korea and the US. Fourth, leverage effect was seen after the financial crisis in some EWI models in the Korean REITs while it was regularly seen in the US REITs. Finally, in calculating REITs price indices, the EWI model led to a result more similar to the US market than the MCI model. Distributions of return on REITs in Korea and the US were fat-tailed compared to a normal distribution.

목차

1. 서 론

2. 선행연구 검토 및 본 연구의 차별성

3. 리츠 시장의 현황

4. 분석결과

5. 결론 및 시사점

키워드

리스크 프리미엄(Risk Premium) GARCH 효과(GARCH Effect) 레버리지 효과(Leverage Effect) 두터운 꼬리분포(Fat-Tailed Distribution)