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房市與股市之相關性探討 = A Study of the Relatio...

國立高雄大學金融管理學系碩士班

房市與股市之相關性探討 = A Study of the Relationship Between Housing Market and Stock Market

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A Study of the Relationship Between Housing Market and Stock Market
作者:	王玟婷,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	民99[2010]
面頁冊數:	95面圖，表 : 30公分;
標題:	門檻共整合
標題:	Threshold Cointegration
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/65965624434090905906
摘要註:	過往已有眾多文獻針對股市與房市相關性進行探討，但仍有所不足，為了能以更為全面性的觀點檢視市場相關，以最適模型捕捉序列型態，提升檢定力，本文首就兩種甚少被予以考量之觀點做分析，第一種為門檻效果的考量，透過股市與房市不同波動特性的推論，可得壞景氣下股價與房價間價格行為存在差異，房價抗跌而股市易跌，因此本文認為好景氣下的市場整合性，將相對於壞景氣下要來的高，對此，本文以Enders and Granger（1998）提出之門檻共整合模型進行分析，實證結果發現兩市場整合的確存在門檻效果，且僅於房價追漲時，才存在共整合關係，與推論相符。節末，則續以Hansen and Seo（2002）的門檻整合向量估計法，以估計之效率門檻值與整合向量探討房價的修正行為，實證說明房市並未有大幅向下修正行為，再次強化房市抗跌優勢的論述。第二種為橫斷面異質性的考量，為彌補過往僅針對時間序列的考量，本文運用追蹤資料共整合模型，分析台灣股市與不動產市場之間是否整合，研究結果為國內四縣市的房價指數與台灣集中市場加權股價指數都存在整合關係，表示兩市場間確實存在一定程度的長期相關。目前有兩種傳遞機制可能造成或可以解釋此長期關係，一為財富效果（Wealth Effect），其認為未預期的股價上揚利得可能增加民眾對不動產的需求，另一則為信用價格效果（Credit Price Effect），其指出房價的上漲可以激勵景氣、企業獲利乃至於股票市場的價格。為了觀察上述傳遞機制是否存在，本文續使用Granger因果關係檢定。實證結果說明，源於股市的財富效果傳遞速度較快，因股市的變動在一季後就開始影響房市，對照之下，信用價格效果就較慢，需時半年才由房市傳導到股市。最後，完全修正普通最小平方法（FMOLS）估計與各縣市的Granger因果關係檢定則進一步說明台北市存在最強的財富效果，支持本文推論。 There have been a number of literatures studying the relationship between housing and stock market in the past, but it still had insufficient. For studying the issue from an overall point of view, this paper analyzes from two considerations which a little or no one paper has considered. The first one is the threshold effect between the integration relationship of the domestic housing market and the stock market. Due to different wave characteristics, we could know the price performance of two markets is difference in downmarket. The housing price is fix and the stock price is sensitive. And we expect that cointegration between the stock and housing market would more significant in bull market than it in bear market. In order to test the inference, we use the “Threshold Cointegration Model” proposed by Enders and Granger (1998). Results point out the integration between the two markets does have a threshold effect. There is evidence of a cointegration relationship in supporting the inference especially when housing prices move upward. At last, this study probes into the action of fixing housing prices by considering the estimated value of the efficiency threshold and integration vector (Threshold Integration Vector Estimation, Hansen and Seo, 2002). Empirical testing shows that there is no substantial downward correction action, once again explaining the existence of a defensive advantage within the housing market.The second one is the cross-section difference. In order to complete the shortage that just uses the time-series data in past studies. This paper uses panel cointegration model analyze whether or not the housing and stock market are cointegrated in Taiwan. The results show that the house price indexes of four cites in Taiwan are all cointegrated with Taiwan Stock Exchange Capitalization Weighted Stock Index, that means there is a long-run equilibrium relationship between the housing and stock market in Taiwan. Two mechanisms can cause or interpret this relationship currently. The first one is wealth effect, which claims that households with unanticipated gains in share prices tend to increase the amount of housing. The second one is the credit price effect, which claims that a rise in real estate prices can stimulate economic activity, future profitability of firms and, as a consequence, stock market prices. To test the above transmission, channel tests of Granger causality are employed. The empirical findings tell the wealth effect is faster than credit price effect since the transmission from stocks to real estate is faster, which only needs a season. By contrast, it takes half of a year to let the transmission from real estate to stocks happened. Finally, the results of FMOLS estimation and individual Granger causality test show the wealth effect in Taipei city is most strong, this evidence consistent with our inference.

房市與股市之相關性探討 = A Study of the Relationship Between Housing Market and Stock Market
王, 玟婷

房市與股市之相關性探討 = A Study of the Relationship Between Housing Market and Stock Market / 王玟婷撰 - [高雄市] : 撰者, 民99[2010]. - 95面 ; 圖，表 ; 30公分.
參考書目：面.
門檻共整合Threshold Cointegration

房市與股市之相關性探討 = A Study of the Relationship Between Housing Market and Stock Market
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