상장 리츠시장의 효율성 점검
Market Efficiency for Korean Public REITs Market
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
.
Abstract
We investigate market efficiency for Real Estate Investment Trusts (REITs) that are traded in the Korean stock market. The Korean REITs market has a history of more than 15 years; it is believed that the market has a big potential of growth and REITs can play role of an investment vehicle that induces investment capital into real estate markets. Market efficiency for REITs can be critical because in an efficient market, investors can achieve normal returns and they can not achieve more than above average-returns. Using daily market prices for four REITs stocks from 2012 and 2015, we test weak form of efficient market hypothesis. The methodologies for our empirical evidence include an ARIMA (Autoregressive Integrated Moving Average) model and both time-invariant and time-varying GARCH-M (Generalized AutoRegressive Conditional Heteroscedasticiy in Mean) Models. Our unique contribution to the literature is that with GARCH-M models our empirical evidence rejects the null hypothesis that Korean REIT stocks are efficient. We suggest that new REIT polices take account of the empirical evidence.
참고문헌 (18)
- 장병기, "한국의 REITs, 부동산인가? 주식인가?", 주택연구, 15(2), pp.31~52 (2007), 한국주택학회
- 장영길, "국내 REITs의 수익률과 조건부 이분산 모형을 이용한 리스크 분석", 부동산학연구, 16(1), pp.25~40 (2010), 한국부동산분석학회
- 조상현, "국내 리츠 시장 활성화의 전제로서리츠 자산 평가의 적정성 연구", GRI연구논총, 16(3), pp.33~70 (2014), 경기개발연구원
- 조현민, "한국 부동산시장 및 자본시장과 부동산투자회사(REITs) 간의 연관성 분석", 국토연구, 71, pp.69~86 (2011), 국토연구원[DOI]
- 유승동, "A Structural Change in the REITs Market following the Modernization Act － Evidence from Financial Market Reactions to Earnings Announcements －", 주거환경, 10(1), pp.169~179 (2012), 한국주거환경학회
- 한국리츠협회, "리츠저널", ~ (2015)
- Anoruo, E., "Testing for Long Memory in REIT Return", International Real Estate Review, 13(3), pp.261~281 (2010)
- Arora, H., "Testing Weak Form of Efficiency of Indian Stock Market", Pacific Business Review International, 5(12), pp.16~23 (2013)
- Bollerslev, T., "Generalized Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31(3), pp.307~327 (1986)
- Cheng, P., "REIT Characteristics and Predictability", International Real Estate Review, 10(2), pp.23~41 (2007)
- Engle, R. F., "Autoregressive Conditional Heterosceda sticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 55(2), pp.391~497 (1982)
- Engle, R. F., "Estimating Time Varying Risk Premia in the Term Structure : the ARCH-M Model", Econometrica, 55(2), pp.391~497 (1987)
- Fattahi, S., "Weak-Form Efficiency in the German Stock Market", Iranian Economic Review, 15(27), pp.77~94 (2010)
- Jirasakuldech, B., "Efficiency in the Market for REITs", Journal of Real Estate Portfolio Management, 11(2), pp.123~132 (2005)
- Kuhle, J. L., "The Efficiency of Equity Reits Price", Journal of Real Estate Portfolio Management, 6(4), pp.349~354 (2000)
- Ling, D. C., "The Predictability of Equity REIT Returns : Time Variation and Economic Significance", Journal of Real Estate Finance and Economics, 20(2), pp.117~136 (2000)
- Lo, A. W., "Reconciling Efficient Markets with Behavioral Finance : the Adaptive Markets Hypothesis", Journal of Investment Consulting, 7(2), pp.21~44 (2005)
- Serrano C., "Forecasting REIT Return", Journal of Real Estate Portfolio Management, 13(4), pp.293~310 (2007)