리츠지수의 영향요인에 관한 연구 = A study on the influencing factors of the REITs stock index

다국어 초록 (Multilingual Abstract)

This study aims to derive the impact factors on the REITs stock market and analyze the influence by building a model to determine REITs stock price index after generating REITs stock price index based on the principle of stock price index calculation. Since the input variables of the model to determine REITs stock index constructed in this study have time-series variation characteristics, the Vector Error Correction Model (VEC) which is typically used in factor analysis of multiple time-series data was used.
The result of impulse response analysis showed that factors that affect variations in REITs stock price index include economic growth, exchange rate and consumer price index. This result is considered to be due to the fact that economic growth induces activation of the real estate market and rise in price, resulting in higher preference for direct investment rather than indirect investment like REITs stock market. That's because foreign investors' investment in real estate invested by REITs companies increases due to an increase in the inflow of foreign capital from the fall in the exchange rate. In addition, since real estate is one of the most suitable investment goods for inflation hedge, the preference for REITs, the indirect investment product derived on the basis of real estate due to the rise in consumer price index increases. On the other hand, it turned out that interest rates and total money supply do not have a significant effect on the REITs stock price index. That's because REITs have not yet been recognized as alternative investment goods due to inactive REITs market in terms of interest rate. In case of the total money supply, there is a phenomenon that the pure effect of the total money supply is distorted due to the input of multiple variables, showing that REITs stock price index fluctuates sharply, but the total money supply is steadily increasing. In this regard, it seems that further analysis needs to be done. In particular, the composite stock price index and construction KOSPI were found to be factors that do not have a significant impact. It can be estimated that the reason is because REITs is more affected by macroeconomic variables and factors of variation in real estate market than the stock market due to the characteristics of being issued based on the real estate assets.
The results of variance decomposition on the prediction error of REITs stock price index also showed no significant difference from those of the impulse response analysis, and the explanatory power by own variables of REITs stock price index turned out to be high over the entire period. Among the input variables, factors affecting variations in REITs stock price index were found to be economic growth rate, exchange rate and consumer price index. From its result, the exchange rate turned out to have the highest explanatory power on the REITs stock price index variations, followed by consumer price index and economic growth rate. However, other variables such as composite stock price index, construction KOSPI, total money supply and interest rate appear to have very low explanatory power on the REITs stock price index variations.
From the results of this study, the following implications can be presented in terms of the investment and activation of REITs stock market.
First, it was confirmed that the domestic REITs stock market is sensitive to exchange rate due to the globalization of investment funds. Accordingly, there is a need to consider information about the trends of foreign investors to make investment decisions based on the exchange rates as an important element for the decision-making for investment in REITs stock market.
Second, the analysis results showed that economic growth has a negative effect on the REITs stock market by activating the direct investment in real estate market. However, the real estate prices have been stable and falling steadily since Korea showed stable economic growth trends from the end of the rapid growth in the past, and chronic excess demand in real estate market changed into balanced demand and supply. In addition, the entry into the era of ultra-low interest rates led to the preference for investment products that provide higher profits to receive compensation for the rate of return in financial market. In this regard, the activation of future REITs stock is expected with acceleration of the movement of capital to REITs listed on the stock market and typically characterized by middle risk and middle return.
Third, real estate has traditionally been recognized as investment goods that function as inflation hedge, and analysis results found that REITs, the financial products issued based on the real estate are also sensitive to inflation. Accordingly, it is suggested that predictions of consumer price inflation rate should also be subject to criteria and considerations for reasonable investment decisions on REITs.

목차 (Table of Contents)

• 제1장 서 론 1
• 제1절 연구의 배경과 목적 1
• 1. 연구의 배경 1
• 2. 연구의 목적 3
• 제2절 연구의 범위 및 방법 5
• 1. 연구의 범위 5
• 2. 연구의 방법 5
• 제3절 연구의 내용 및 체계 7
• 제4절 선행연구 고찰 9
• 1. 리츠제도 관련 선행연구 9
• 2. 리츠의 수익률 관련 선행연구 12
• 3. 외국의 리츠 관련 선행연구 15
• 4. 본 연구의 차별성 17
• 제2장 국내·외 리츠제도 및 비교 고찰 18
• 제1절 리츠(REITs)의 개요 및 특징 18
• 1. 리츠의 개념 18
• 2. 리츠의 구조 20
• 3. 리츠의 유형과 특징 23
• 제2절 국내 리츠제도의 개요 및 현황 28
• 1. 국내 리츠제도의 개요 28
• 2. 국내 리츠제도의 변천과정 30
• 3. 국내 리츠현황 34
• 제3절 외국의 리츠제도 및 현황 39
• 1. 미국 리츠제도의 개요 및 현황 39
• 2. 일본 리츠제도의 개요 및 현황 47
• 3. 호주 리츠제도의 개요 및 현황 52
• 제4절 비교고찰 59
• 제3장 리츠지수 이론적 결정모형 및 분석방법 62
• 제1절 리츠주가 결정원리 및 리츠지수 산출방식 62
• 1. 주식가치 평가모형 62
• 2. 리츠지수 도출방식 65
• 제2절 리츠지수의 이론적 결정모형 및 가설설정 66
• 1. 리츠지수의 영향요인 66
• 2. 리츠지수의 이론적 결정모형 69
• 제3절 분석방법 고찰 75
• 1. 분석절차 및 단계 76
• 2. 시계열분석의 개념과 변수의 정상성 검정 77
• 3. 공적분 검정(cointegration test) 81
• 4. 그랜저 인과관계 검정 84
• 5. VAR(VEC) 모형의 개념 및 구조 85
• 6. 충격반응분석 87
• 7. 예측오차의 분산분해 89
• 제4장 리츠지수 결정모형 분석결과 90
• 제1절 변수의 특성 및 상관관계 분석 90
• 1. 기술통계량 90
• 2. 변수의 변동추세 92
• 3. 상관관계 분석결과 98
• 제2절 변수의 안정성 및 장기균형관계 분석결과 100
• 1. 정상성 검정결과 100
• 2. 장기균형관계(공적분) 검정결과 101
• 제3절 그랜저 인과관계 검정결과 102
• 제4절 적정시차 분석 및 리츠지수 결정모형 추정결과 107
• 제5절 충격반응분석과 예측오차분산분해 분석결과 110
• 1. 충격반응 분석결과 110
• 2. 예측오차 분산분해 분석결과 116
• 제5장 결 론 119
• 제1절 연구의 요약 및 시사점 119
• 제2절 연구의 한계와 과제 121
• <참고문헌> 123
• ABSTRACT 128
• 부록 1: 충격반응분석 테이블 132
• 부록 2: 분산분해분석 그래프 133