總體經濟指標與房地產影響因子對不動產投資信託基金報酬之關連性分析

Abstract

近年引進台灣新的投資工具，包括金融資產證券化、不動產證券化、衍生性金融商品、選擇權…等，其中不動產證券化就是結合不動產市場與資本市場，其用意為促進資本市場有效的妥善運用，將國內資金引導至不動產市場，使其流動性提高以活絡市場，帶動相關產業發展。如此可吸引外資投資、提升生活環境品質，可直接或間接地貢獻經濟成長等效益，同時增進金融商品的多元化，且更進一步的目的是達到資本配置有效的情形下，擴大台灣的資本市場規模，將使資本市場與不動產市場相輔相成。 本研究是以台灣發行之不動產投資信託基金為研究對象，以目前於公開市場交易之富邦一號、富邦二號、國泰一號、國泰二號、新光一號、三鼎等六檔封閉型基金（REITs），並使用公開資訊觀測站公開的每月平均股價，進而自行計算其報酬率。再選出「總體經濟指標」及「房地產景氣」兩大類指標來探討與REITs投資報酬之間的關聯性。其中總體經濟指標中另外特別探討「利率水準」與「物價指數」，房地產景氣指標中另外探討「REITs租金收入」，總共五大構面，再利用這些數據與REITs投資報酬做相關係數分析，探討各指標與REITs投資報酬率之間的關聯性，使投資人能有更明確的投資指標。

In recent years, innovative investment tools were introduced to Taiwan, such as asset securitization, real estate securitization, derivatives, options, etc. The real estate securitization connects the housing market and the capital market. The objectives of the real estate securitization are to promote the efficiency in capital market, encourage the domestic investment of the real estate market, increase the liquidity and promote the development of housing related industry. Besides, the real estate securitization may increase the variety of investable products, attract the foreign investment, directly or indirectly contribute to the economic growth and economic efficiency, as well as improve the quality of living. Going forward, the goals are to expand Taiwan's capital market scale, increase the efficiency of asset allocation and make the capital market the real estate market and capital complement each another. The real estate investment trust funds in Taiwan are the objects in this research, using existing enclosed-types and public traded REITs such as “Fubon #1” , ” Fubon #2” , “Cathay #1”, ”Cathay #2”, “Shin-Kong #1”, and “San-din”. We use the monthly mean equity prices obtained from the Market Observation Post System to calculate the return rate. Then we select “the macroeconomic indicator” and “the real estate composite indicator”, which are the two heading targets, to discuss the correlation between the indicators and the REITs returns. And we specifically discuss “the interest rate standard” and “the price index” in the macroeconomic indicator category, and “the REITs rental receipts” in the real estate composite indicator. In sum, we use five indicators as independent variables and run the correlation analysis between these variables and the REITs returns in order to provide more explicit reference indicators to investors.