此篇論文檢驗2003年4月到2004年9月間美國、澳洲、日本以及新加坡的不動產投資信託對於投資組合多角化的影響。此外，我們也檢驗了此段期間四個國家的不動產投資信託對於長期通貨膨漲的避險能力。我們以簡單迴歸、共整合及自我迴歸模型來檢驗其因果關係與各市場間長期經濟上的關連性。而平均變異檢定法則是用以檢測投資者是否能透過加入不動產投資信託於原有的投資組合來改善其投資機會。結果顯示，除了美國之外的國家加入不動產投資信託的確可以使投資者的投資效益顯著提升。另ㄧ方面，我們也發現美國、澳洲和新加坡的不動產投資信託對抗通貨膨脹的能力十分有限。 We examine the impact of REITs on the portfolio diversification across the United States, Australia, Japan, and Singapore over the April 2003 –September 2004 interval. We also investigate whether REITs provide an inflation hedge in the long-run. Simple regression, cointegration, and vector autoregressive models are employed to explore the causality and long-run economic linkages among these markets. Mean-variance spanning test is used to examine whether investors could improve their investment opportunities through adding REIT portfolios to benchmark portfolios. Our results indicate that REITs of our cases do enlarge investment opportunity sets significantly except for the U.S. REITs. On the other hand, we find overall evidences argue that effective inflation hedges ability of REITs are weak in our sample countries besides Japan.
