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系統識別號 U0026-0812200915211208
論文名稱(中文) The Impact of Monetary Policy Changes on Global Real Estate Investment Trusts: An Event Study Involving the Subprime Mortgage Crisis
論文名稱(英文) The Impact of Monetary Policy Changes on Global Real Estate Investment Trusts: An Event Study Involving the Subprime Mortgage Crisis
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 97
學期 2
出版年 98
研究生(中文) 艾力恩
研究生(英文) Adrian M. Bleiler
電子信箱 RA696774@mail.ncku.edu.tw
學號 RA696774
學位類別 碩士
語文別 英文
論文頁數 84頁
口試委員 召集委員-張紹基
口試委員-吳清在
口試委員-黎明淵
指導教授-楊曉瑩
中文關鍵字 none 
英文關鍵字 Event Study  Market Model  Monetary Policy  Real Estate Investment Trust  Federal Fund Discount Rate 
學科別分類
中文摘要 none
英文摘要 Influence of monetary policy changes on financial markets has been shown in previous studies; however, evidence is lacking to show an international impact resulting from monetary policy decisions of a specific country on global markets. Given recent turmoil regarding the housing market in the United States and subsequent collapse of related economies throughout the world, this study investigates the influence of changes in US monetary policy on international markets through securitized real estate. Utilizing event study methodology, specifically the market model, the findings reveal that Real Estate Investment Trusts (REIT) traded in four international markets, US, Australia, UK and Canada, have significant reactions to 13 discount rate changes made by the Federal Reserve throughout the period of 2006 to 2008. The results indicate that US monetary policy, through a Federal Fund discount rate proxy, has a statistically significant influence on international markets, utilizing an REIT proxy, both domestically and internationally. The findings in this study accentuate the need to monitor not only domestic monetary policy, but also international policies in order to strategically diversify investments in multiple markets.
論文目次 TABLE OF CONTENTS
ACKNOWLEDGEMENTS I
ABSTRACT II
TABLE OF CONTENTS III
LIST OF TABLES VI
LIST OF FIGURES VII
CHAPTER ONE INTRODUCTION 1
1.1 Research Background and Motivation. 1
1.2 Research Objectives and Contributions. 5
1.3 Research Structure. 8
CHAPTER TWO LITERATURE REVIEW 9
2.1 Efficient Information Incorporation during Events. 9
2.1.1 Abnormal Returns under the Market Model. 10
2.1.2 Analyzing Complete Markets. 11
2.1.3 Banking Crises. 12
2.2 Real Estate and Market Efficiency. 12
2.2.1 Analyzing Real Estate and Property. 13
2.2.2 Inflation and REITs. 14
2.2.3 Monetary Policy. 14
2.2.4 Real Estate and Interest Rates. 16
2.2.5 Interest Rates, the Subprime Mortgage Crisis and Global Effects. 17
2.3 Hypothesis Development. 19
CHAPTER THREE THEORY 21
3.1 Efficient Market Hypothesis. 21
3.2 Contagion Theory. 22
CHAPTER FOUR RESEARCH DESIGN AND METHODOLOGY 24
4.1 Background of Event Study Methodology. 24
4.1.1 Models concerning Event Study Methodology. 25
4.1.2 Identifying Events. 27
4.1.3 Duration of Event Window and Estimation Period. 28
4.1.4 Data Time Intervals. 29
4.1.5 Abnormal Returns. 29
4.1.6 Market Model Discussion and Operation. 30
4.1.7 Cumulative Abnormal Returns. 32
4.1.8 Research Design. 33
4.2 Model Design. 34
4.2.1 Event Dates. 35
4.2.2 Event Window and Estimation Period Duration. 37
4.2.3 Countries, REITs, and Index. 39
4.2.4 Parametric Tests/ Robustness Tests. 42
CHAPTER FIVE EMPIRACAL RESULTS 44
5.1 Assessment and Empirical Process. 44
5.2 Abnormal Returns based on Individual Events per Country. 45
5.3 Abnormal Returns based on Countries. 50
CHAPTER SIX CONCLUSION AND SUGGESTIONS 54
6.1 Conclusions and Implementations. 54
6.2 Contributions. 56
6.3 Limitations. 57
6.4 Suggestions for Further Research. 58
REFERENCES 59
APPENDICES 63
Appendix-1: US Market Model Regression Coefficients 63
Appendix-2: Australia Market Model Regression Coefficients 66
Appendix-3: UK Market Model Regression Coefficients 69
Appendix-4: Canada Market Model Regression Coefficients 72
Appendix-5: United States AAR and ACAR per Event 75
Appendix-6: Australia AAR and ACAR per Event 77
Appendix-7: United Kingdom AAR and ACAR per Event 80
Appendix-8: Canada AAR and ACAR per Event 82
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