A Study on the Determinants of the REITs Stock Index using VECM
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This study aims to derive impact factors on the stock market and analyze the influence by building a model to determine REITs index with that derived by applying market capitalization as research target. In an empirical analysis, a vector error correction model (VECM) was used since the variables of the constructed model have characteristics of time-series variation. The results of this study are as follows. First, information about foreign investors' trends needs to be taken into account as an important factor for the investment decisions of REITs stock market. Second, the economic growth turned out to have a negative effect on REITs stock market by promoting a direct investment in the real estate market. Third, the prediction of consumer price inflation (change) should also be included in the subject of standards and considerations for rational investment decisions about REITs. Lastly, REITs can be said to lower the risk of the portfolio through diversified investment with other investment and financial products and have higher utilization as a investment that increases the return. .
Abstract
This study aims to derive impact factors on the stock market and analyze the influence by building a model to determine REITs index with that derived by applying market capitalization as research target. In an empirical analysis, a vector error correction model (VECM) was used since the variables of the constructed model have characteristics of time-series variation. The results of this study are as follows. First, information about foreign investors' trends needs to be taken into account as an important factor for the investment decisions of REITs stock market. Second, the economic growth turned out to have a negative effect on REITs stock market by promoting a direct investment in the real estate market. Third, the prediction of consumer price inflation (change) should also be included in the subject of standards and considerations for rational investment decisions about REITs. Lastly, REITs can be said to lower the risk of the portfolio through diversified investment with other investment and financial products and have higher utilization as a investment that increases the return. .
참고문헌 (13)
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