本研究旨在探討美國房地產投資信託基金(REITs)市場是否存在向其他主要已開發國家市場蔓延的現象，並進一步區分不同市場間的聯動關係屬於「蔓延」（contagion）還是「相依」(interdependence）。本文選取日本、加拿大、澳洲、歐洲與英國等五國作為研究對象，利用DCC-GARCH模型估計動態條件相關係數，藉此觀察時間序列下報酬率之聯動性變化。此外，同時引入ForbesandRigobon（2002）所提出之變異數調整方法，矯正危機期間波動性上升對相關性估計的扭曲，提升蔓延效應之識別準確性。實證結果顯示，美國REITs與其他國家市場間在COVID-19爆發初期普遍呈現顯著相關性上升，但在經過調整後，多數國家未表現出顯著蔓延現象，反映市場間聯動性仍以長期結構性相依為主。整體而言，本研究支持「Nocontagion,only interdependence」的觀點，並強調應透過動態建模與變異數調整，以更精確識別跨國金融市場間的風險傳遞機制。

This study aims to examine whether the U.S. Real Estate Investment Trusts (REITs) market exhibits contagion effects on other major developed markets and to further distinguish whether the inter-market linkages reflect "contagion" or "interdependence." The analysis focuses on five countries—Japan, Canada, Australia, Europe, and the United Kingdom—and employs the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model to estimate time-varying conditional correlations, capturing the dynamic co-movements of returns. In addition, the study incorporates the variance adjustment method proposed by Forbes and Rigobon (2002) to correct for upward bias in correlation estimates during crisis periods, thereby enhancing the accuracy in identifying contagion effects.

The empirical findings reveal that during the initial outbreak of COVID-19, the correlations between the U.S. REITs market and other countries’ markets generally increased significantly. However, after applying the variance adjustment, most markets do not exhibit significant contagion, suggesting that the observed co-movements are largely driven by long-term structural interdependence rather than crisis-induced contagion. Overall, this study supports the view of “no contagion, only interdependence,” and highlights the importance of dynamic modeling and variance adjustment in accurately identifying risk transmission mechanisms across international financial markets.

目 錄
論文審定書 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i
摘要. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .ii
Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii
第一章 緒論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 研究背景與動機 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 研究流程 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
第二章 文獻回顧 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.1 動態相關研究 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 不動產證券化市場相關研究 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.3 金融蔓延相關研究 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
第三章 資料及研究方法 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.1 資料選取與處理 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2 資料初步檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2.1 常態性檢定（Kolmogorov-Smirnov Test） . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2.2 序列相關性檢定（Ljung-Box Test） . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3.2.3 ARCH 效應檢定（ARCH-LM Test） . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3.3 實證模型設定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3.4 診斷性檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
第四章 實驗結果與分析 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
4.1 資料初步檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
4.2 DCC-GARCH 模型結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
4.3 診斷性檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.4 蔓延 or 相依 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
第五章 結論與建議 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
參考文獻 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

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