한국 상장리츠 주식가격의 특성에 관한 연구

한국 상장리츠 주식가격의 특성을 분석했다.

With the help of the long-standing low-interest rate trend in the financial market and policy liquidity following the Covid-19 Pandemic, interest in alternative investments is increasing in the domestic financial market. In particular, listed REITs have been remarkably active in the domestic financial market in recent years and investors' interest in listed REITs is also increasing as an alternative investment product that pursues medium risk medium returns.

Listed REITs are attracting attention as they can trade in the stock market with available small transaction unlike private real estate funds and unlisted REITs, which have inconveniences in transaction for individual investors due to large minimum investment amount and unavailable market transaction. As of the end of December 2017, the market capitalization of listed REITs in Korea was only 0.12 trillion won, but as of the end of June 2022, it increased to 20 and the market capitalization reached 7.5 trillion won.

In addition, individual REITs' investment assets are growing qualitatively diversified to logistics facilities, real estate development projects, overseas real estates, hotels, gas stations, and data centers away from office buildings or retails which were traditional investments of REITs. Under this background, the need for research on domestic listed REITs is now increasing. This study analyzed the characteristics of the return on stock prices of listed REITs by dividing the period before(T1) and after(T2) domestic listed REITs were activated, by creating the listed REITs stock index using data from the past 10 years of domestic listed REITs.

Korean REITs index, KOSPI index, Korean government bond futures index and USD/KRW futures index returns were analyzed in time series for each period. To compare US market case, US REITs index, S&P500, 5yr US Treasury Note Futures and US dollar index were also examined. In addition, an empirical analysis was conducted on the co-movements of the global REITs market with the Korean REITs Index and the representative REITs index of five major countries such as the United States, United Kingdom, Australia, Singapore and Japan.

And an analysis was conducted on the relationship between Korean REITs Index and the real estate market variables using data from the weekly apartment price index and apartment supply and demand trend of city of Seoul. Finally, portfolios containing listed REITs, infrastructure funds, and real estate funds were formed to compare the performance of each portfolio by dividing it into a period of falling interest rates and rising interest rates using the Sharpe Index.

To summarize the research results of this paper, first, as a result of the estimation of the VEC model for [Hypothesis 1], the stock market and the foreign exchange market had a significant negative (-) effect on the domestic listed REITs index over the entire period, but the bond market was not significant. In the results of robustness check using the IGARCH model, it was found that only the stock market had a significant positive (+) effect.

[Hypothesis 1-1] that the effect of stocks, bonds, and foreign exchange market returns on Korean listed REITs index returns would decrease at T2 compared to T1 was supported and consistent with the former study, according to the results of VEC model estimation. However, in the results of robustness analysis using the IGARCH model, the USD/KRW futures index was added as a significant variable in the T2 period and did not support [Hypothesis 1-1].

Second, in the case of the US market, as a result of the estimation of the VEC model for Hypothesis 2, only the bond market showed a significant positive (+) effect throughout the entire period, but the IGARCH model showed a significant positive (+) effect not only in the bond market but also in the stock market. Also the influence of other financial variables on the US REITs index was found to have decreased at T2 than at T1, indicating that [Hypothesis 2-1] was supported, but this could not be confirmed in the robustness check results.

Third, the empirical analysis results related to the synchronization between global REITs indexes showed evidence of [Hypothesis 3] that the Korea Listed REITs Index has synchronization with the REITs indexes of other major countries (US, UK, Australia, Singapore, and Japan). And the empirical analysis on the synchronization between the global REITs indexes showed that the degree of synchronization of the Korean listed REITs index with the REITs index in other major countries was weaker at T2, so [Hypothesis 3-1] was rejected, and no evidence was found to support [Hypothesis 3-1] in the robustness test.

Fourth, as a result of the VEC model analysis on the relationship between listed REITs and real estate, the listed REITs index was not significantly affected by the real estate price index or real estate supply and demand trends, resulting in [Hypothesis 4] being rejected. And [Hypothesis 4-1] that fluctuations in domestic real estate prices and supply and demand trends would have a smaller impact on T2 than T1 was rejected and no meaningful results were found in the robustness verification.

Fifth, [Hypothesis 5] The VEC model analysis of the relationship between domestic infrastructure funds and real estate funds and the listed REITs index showed a significant negative (-) effect over the entire period, and all IGARCH model verification showed a significant positive (+) effect. Also the analysis of [Hypothesis 5-1] on whether fluctuations in domestic infrastructure and real estate fund yields will affect T2 more than T1 did not support the hypothesis in the estimation results of the VEC model, impulse response functions analysis. However the results of the forecasting error variance decomposition analysis and robustness verification supported the hypothesis.

Sixth, as a result of portfolio performance analysis including listed REITs, the portfolio's Sharpe index, which includes the Korean R