리츠와 건설경기, 부동산경기, 주식시장과의 관계 분석 = Relation Analysis Between REITs and Construction Business, Real Estate Business, and Stock Market

다국어 초록 (Multilingual 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.

참고문헌 (Reference)

1 장병기, "한국의 REITs, 부동산인가? 주식인가?" 한국주택학회 15 (15): 31-52, 2007

2 지호준, "주식시장, 채권시장, 부동산시장의 경기순환 관계" 27 (27): 1277-1296, 1999

3 한국은행, "알기 쉬운 경제지표해설"

4 국토해양부 부동산산업과, "부동산투자회사 현황"

5 국토연구원, "부동산시장 선진화를 위한 리츠 제도 활성화 방안 연구"

6 박종철, "벡터오차수정모형(VECM)을 이용한 금리, 아파트가격, 주가의 상관관계" 동아대학교 2007

7 김은혜, "리츠의 성과측정치와 주가와의 관계분석" 대한국토·도시계획학회 39 (39): 193-202, 2004

8 김범석, "리츠(REITs)와 주식시장의 상관관계에 대한 연구: 코크랩 1호 CR리츠 & 교보-메리츠 CR리츠" 1-23, 2007

9 김국진, "리츠 수익률 코스피 2배, 코스닥 5배" 건설경제 2010

10 이용만, "동행 및 선행지수를 이용한 건설경기 평가" LG경제연구원 1999

11 손창백, "건설경기 변동에 따른 인력수요 예측에 관한 연구" 대한건축학회 22 (22): 211-218, 2006

12 Clayton, J, "The Time-Varying Nature of the Ling between REIT, Real Estate and Financial Asset Returns" 1 (1): 43-54, 2001

13 Liow, K. H, "The Dynamics of the Singapore Commercial Property Market" 17 (17): 279-291, 2000

14 Chan, K. C, "Risk and Return on Real Estate Markets: Evidence from Equity REITs" 18 (18): 431-452, 1990

15 임응순, "REITs의 포트폴리오 효과에 대한 소고" 14 (14): 141-162, 2004

16 Goldstein, M, "REIT Return Behavior in Advancing and Declining Markets" 15 : 68-77, 1999

17 Li, Jinliang, "Economic Force, Fundamental Variables, and and REIT Returns" 2003

18 국토해양부 부동산산업과, "2009년(1-8월) 리츠 11개사 신규 설립, 작년 대비 큰 폭 증가"

19 송일호, "'SAS와 EVIEWS를 이용한 계량경제실증분석" 삼영사 2002