本文利用雙門檻Generalized autoregressive conditional heteroskedasticity (GJR-GARCH) 模型探討新型冠狀病毒疫情對票市場和不動產投資信託市場波動性的影響，藉此窺探兩市場上的風險如何改變，並且進行比較。本文以美國市場為研究標的，並以疫情發生前後一年（2019-2020）的S&P500股價指數和FTSE NAREIT Equity REITs指數為研究樣本，代表股票市場和不動產投資信託市場。實證結果發現股票市場和不動產投資信託市場之波動性皆受新型冠狀病毒疫情所影響而增加，且股票市場波動受影響較大，代表在疫情期間，不動產投資信託市場風險較低。

To explore the impact of the covid-19 epidemic on the risk of the stock market and the real estate investment trust (REIT) market, this paper uses GJR Generalized autoregressive conditional heteroskedasticity (GJR-GARCH) model to capture the volatility of two markets. This research takes S&P500 index and FTSE NAREIT Equity REITs index as samples to analysis. The empirical results shows that the volatility of stock and REITs both increase, which means that the risk of two markets rises after the outbreak of covid-19. Moreover, the stock market increases more volatility than the REIT market, which implies investing in REIT market is much safer during the covid-19 epidemic.

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