REITs在過去文獻資料，較少研究外在環境對於REITs的改變，因此本研究進一步探討REITs、石油與黃金是否存在三者有領先落後之關係及因果關係，作為投資決策之參考點。本文使用因果分析與向量誤差修正模型，研究期間為2008年1月1日至2009年12月31日，實證結果發現石油現貨與台灣REITs存在「雙向回饋」，而在訊息傳遞方面，台灣REITs領先石油現貨與黃金現貨，在反應金融海嘯趨勢上，台灣REITs反應風險較緩慢，而石油現貨與黃金現貨反應較快易受到金融海嘯影響大，主要因台灣REITs投資標的為大型商務辦公大樓、飯店、百貨商場和商務旅館等不動產之租金收益，較具有避險之效果。在金融海嘯後，台灣REITs比黃金現貨較為穩定，台灣REITs不僅避開系統性風險且具有領先黃金之特色。 Previous literatures seldom studied the effect of external environment on the change of REITs. This thesis investigated the lead and lag relationship among REITs, oil and gold to set as a reference point for investment decision. The causal analysis and vector error correction model were applied to analyze the complied data from January 1, 2008 to December 31, 2009. The empirical results show that there was ＂two- way feedback＂ between oil spot and Taiwan REITs. Taiwan REITs led oil spot and gold spot in information transfer. In response to the trend of the financial tsunami, Taiwan REITs showed slower response to the risk, however, the oil spot and gold spot responded faster to the financial tsunami impact. This mainly due to the investment targets of Taiwan REITs were real estate rental incomes of large commercial office building, hotels, department stores and business hotels which present lower risk effect. The Taiwan REITs was more stable than gold spot after the financial crisis, Taiwan REITs not only avoid the systemic risk also lead the gold spot.
