臺灣博碩士論文加值系統

由於住宅具有投資與消費居住兩種特性，對投資人而言成為進可攻退可守的投資商品， 在景氣好時賣出獲利，而景氣差時出租，讓房價有向下僵固性，造成房價所得比逐年上升。 而在已有的文獻中，對住宅市場易漲難跌或抗跌性的特性多從房價或交易量單方面去研究， 研究結果也多著重於房價或量單獨的波動性情形，無法綜觀全貌，於是本研究將成交量及 成交價一起納入討論。故利用OLS迴歸模型研究量的波動，研究指出全國房價無明顯的追 漲現象，而在連續跌的時候出現惜售套牢待變。而有關價的波動則用不對稱 GARCH模型 研究，顯示全國房價波動的態樣無變異數異質，而無出現明顯追漲難跌現象﹔針對台北市 研究結果則與過去的文獻一樣有不對稱的效果，在房價下跌時會出現居奇囤積，待反轉獲利。

Since the residential house is endowed with two properties of both investment and consumptive residence, for investors it turns out an investment commodity which can either take the offensive or the defensive as one chooses. When the economy booms up, it can be sold with profit, while the recession occurs, it can be rented so that the house price boasts of the downward rigidity, resulting in the increase of the ratio of house price to income year by year. However, among the existing literature, most of the researches on the trait of the residential house market in terms of its rise on the way or defensive are undertaken in a single aspect of the house price or the trading volume and the study results also mostly focus on the individual volatility conditions of house price or volume. As a result, it is unable for one to have a whole picture. Consequently this study includes the trading volume and the final price together into discussion and the OLS regression model is used to study the volatility of volume. It is indicated in the study that there is no obvious phenomenon of chasing the market in view of the national house price and reluctance to sell or being stuck for a change comes up at the time of fall in a row. With reference to the price volatility, the asymmetric GARCH model is used for study. It suggests that no heteroscedasticity exists on the type of the national house price volatility and no obvious phenomenon of chasing the market with defensive appears. Taking Taipei City for example, the study results bear the asymmetric effect like the past literature to the effect that when the house price falls, the hoard for speculation will show up till the market reverses for making a profit.

論文審定書 i
論文公開授權書 ii
謝辭 iii
摘要 iv
Abstract v
目錄 vi
圖次viii
表次ix
1 緒論 1
1.1 研究背景動機 . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3 本文及本研究架構之流程 . . . . . . . . . . . . . . . . . . . 5
2 文獻回顧 6
2.1 不動產景氣的波動 . . . . . . . . . . . . . . . . . . . . . . . 6
2.2 處置效應 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 時間序列波動性的不對稱異質變異 . . . . . . . . . . . . . . 8
3 實證方法及模型 11
3.1 成交量波動性的模型 . . . . . . . . . . . . . . . . . . . . . . 11
3.2 成交價波動性的模型 . . . . . . . . . . . . . . . . . . . . . . 13
3.2.1 EGARCH模型 . . . . . . . . . . . . . . . . . . . . 14
3.2.2 APGARCH模型 . . . . . . . . . . . . . . . . . . . 16
4 實證結果分析與討論 18
4.1 實證資料來源 . . . . . . . . . . . . . . . . . . . . . . . . . 18
4.2 實證結果分析 . . . . . . . . . . . . . . . . . . . . . . . . . 18
4.2.1 成交量的處置效果 . . . . . . . . . . . . . . . . . . . 18
4.2.2 房價的抗跌性 . . . . . . . . . . . . . . . . . . . . . 24
5 結論與建議 30
參考文獻 31

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