| Title |
Relation Analysis Between REITs and Construction Business, Real Estate Business, and Stock Market |
| Keywords |
REITs(real estimate investment trusts) ; stock price index ; construction business index ; real estimate business index ; VAR(vector error correction model) ; VECM(vector error correction model) |
| Abstract |
Even though REITs (Real Estate Investment Trusts) are listed on the stock market, REITs have characteristics that allow them to invest in real estate and financing for real estate development. Therefore REITs is related with stock market and construction business and real estate business. Using time-series analysis, this study analyzed REITs in relation to construction businesses, real estate businesses, and the stock market, and derived influence factor of REITs. We used the VAR (vector auto-regression) and the VECM (vector error correction model) for the time-series analysis. This study classified three steps in the analysis. First, we performed the time-series analysis between REITs and construction KOSPI(The Korea composite stock price index) and the result showed that construction KOSPI influenced REITs. Second, we analyzed the relationship between REITs and construction commencement area of the coincident construction composite index, office index and housing price index in real estate business indexes. REITs and the housing price index influence each other, although there is no causal relationship between them. Third, we analyzed the relationship between REITs and the construction permit area of the leading construction composite index. The construction permit area is influenced by REITs, although there is no causal relationship between these two indexes. REITs influenced the stock market and housing price indexes and the construction permit area of the leading composite index in construction businesses, but exerted a relatively small influence in construction starts coincident with the composite office indexes in this study. |