臺灣博碩士論文加值系統

股票市場與不動產市場存在某種價格關聯性，一直有很多的學者專家想要知道的結果，可是相關的文獻也發現其結果常常不一致。這可能是因為之前探討此議題，大部份的研究都重線性分析，而很多非線性的部分，卻有結構變動的缺點。
本研究將以1870年至2013年期間的股票價格與不動產價格的年資料，以國去未曾使用過的滾動窗期(Rolling window)與非線性自我迴歸分配落後期模型(NARDL)等實證方法，重新檢驗美國股票市場價格與不動產市場價格，分析兩市場之間價格是否有關聯性，是否存在領先或落後指標，是否有長期均衡關係。
我們實證結果，得出結論股票市場價格與不動產市場價格之間，是長期均衡關係存在，而且是對稱的。這些信息可以隨時提供給國家的金融機構和個人投資者，以幫助他們在這兩個資產市場建立長期投資組合。

第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 5
第三節 論文架構與流程圖 7
第二章 文獻探討 10
第一節 股票市場與不動產市場價格的關聯性 10
第二節 國際股票市場與不動產市場價格的關聯性 17
第三節 財富效果與信用價格效果 22
第四節 文獻回顧結語 26
第三章 研究方法 35
第一節 變數與資料來源說明 35
第二節 追蹤資料下的計量方法 36
第三節 實證模型 45
第四章 實證結果與分析 56
第一節 原始資料概述 56
第二節 單根檢定 59
第三節 共整合檢定 61
第四節 滾動窗期因果關係檢定 62
第五節 非線性自我迴歸分配落後期模型 73
第五章 結論與建議 81
第一節 研究結論 81
第二節 研究建議 84
參考文獻 85

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