不動產市場與股票市場關聯性分析-以美國.澳洲.日本.台灣市場為例; The Relation between Real Estate Market and Stock Market Evidence from US, Australia, Japan and Taiwan

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Title:	不動產市場與股票市場關聯性分析-以美國.澳洲.日本.台灣市場為例;The Relation between Real Estate Market and Stock Market Evidence from US, Australia, Japan and Taiwan
Authors:	蔡明倫;Ming-lun Tsai
Contributors:	財務金融學系碩士在職專班
Keywords:	股票市場;因果關係檢定;非線性共整合檢定;不動產市場;Granger Causality Test;Cointegration Test
Date:	2008-06-14
Issue Date:	2009-09-22 14:48:03 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究以美國、澳洲、日本與台灣為對象，分別探討股票市場與不動產市場之關連性，以及四個國家不動產市場相互間之關聯，其中股票市場的發展變動以各國本身主要的股價指數為代理變數；不動產方面，則以上述四個國家皆已有建構一段時間以上的不動產投資信託指數(REIT index)或房價市場指數(housing market index)作為不動市場發展的代理變數。研究方法上，除了使用傳統的線性共整合檢定，本文為使分析更為穩健(robust)，更進一步採用變數可能有結構改變之非線性共整合檢定，以及Granger因果關係檢定來探討兩者之關係。本研究結果顯示，美國、日本、台灣的不動產市場與股票市場間的共整合關係具有結構性改變，意即其兩者間的長期趨勢具有非線性的變化，且此三個國家的不動產市場與股票市場長期是連動的。澳洲的不動產市場與股票市場，並沒有共整合關係，因此在澳洲這兩個市場是「可區隔」的，因此有益於投資人持有一長期投資組合時的多角化策略。而Granger因果關係方面，除了日本市場，美國、澳洲、台灣都存在不動產市場在時間上單向領先股票市場的現象，而台灣除了不動產市場領先股票市場之外，股票市場也同時領先不動產市場，意即兩者具有雙向回饋的關係。其次，四個國家的不動產市場長期下是連動的，在Granger因果關係發現，短期的資訊預測上，不動產市場的變動仍以美國為最領先之指標，領先其他三國，而澳洲的不動產市場也領先日本與台灣；至於日本與台灣的不動產市場，則是日本領先台灣。從訊息傳遞的角度來看，除了美國與澳洲的不動產市場可互相預測之外，這兩個國家都可預測台灣與日本的不動產市場，但是日本的資訊又領先台灣，故整體看來，美國、澳洲、日本三國的不動產市場都能事先反應台灣不動產市場未來的走勢。 In this study, we employ the linear and nonlinear integration models to investigate the long-term relationship between stock market (stock market index) and real estate market (REIT index or housing market index) in four countries, including the US, Australia, Japan, and Taiwan. We also employ the Granger Causality Test to exam the short-term lead-lag dynamics between the stock market and real estate market of each country. The results of this study suggest the stock market and real estate market have a “positive” long-term relationship in the US, Japan, and Taiwan based on the nonlinear integration model. The results also show that the performance of real estate market leads the stock market in the short-run in the US, Australia, and Taiwan based on the Granger Causality Test. In addition, the feedback relation between two markets only exists in Taiwan. Another finding in this study is that the US leads the other three countries in terms of real estate market performance, followed by Australia, and Japan. Taiwan real estate market is the laggard among the four countries included in this study, based on the Granger Causality Test.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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