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研究生:許秉凱
研究生(外文):Shiu,Bing-Kai
論文名稱:新聞媒體對房市的衝擊
論文名稱(外文):The Impact of News Media on the Housing Market
指導教授:江明珠江明珠引用關係
指導教授(外文):Chiang,Ming-Chu
口試委員:周淑卿蔡怡純
口試委員(外文):Chou, Shu-ChingTsai, I-Chun
口試日期:2018-05-28
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:76
中文關鍵詞:房價交易量預售屋中古屋向量自我回歸模型新聞情緒
外文關鍵詞:House pricesAmountPresold housePresold houseVector Autoregression ModelNews sentiment
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承如Shiller (2002) 所述,在股市裡,非理性的投資行為會出現在市場參與者上。其中,新聞媒體發揮著重要作用,它影響大眾想法、引發後續的效應,導致資產價格變得不可預測。過去也有許多實證研究指出,新聞媒體影響房市參與者之情緒。為探討媒體報導房市新聞的樂觀程度,本研究以關鍵詞為「房市」,篩選2005年1月至2017年12月間,聯合全文報紙資料庫的經濟日報和聯合報新聞共32151筆,根據房市新聞情緒,制定兩類的新聞情緒指標。第一類為接受廣告的情緒指標,第二類為去除廣告的情緒指標。本文使用向量自我迴歸模型,控制基本面因素的影響後,分析新聞樂觀指標分別與預售屋、中古屋的房價、交易量的關係。實證結果顯示,新聞媒體情緒指標對房市有顯著的解釋能力,其中,對交易量的解釋能力比對房價還高,新聞媒體情緒指標對預售屋及中古屋交易量均有顯著的解釋能力。然而,去除房市廣告之篇幅後,新聞媒體情緒對於房價無顯著的解釋能力。
As Shiller (2002) stated, in the stock market, irrational investment behavior will appear in market participants. Among them, the news media plays an important role. It affects public opinion and triggers subsequent effects, leading to unpredictable asset prices. There have also been many empirical studies in the past that stated that news media influence the mood of participants in the housing market. In order to discuss the optimism of the media coverage of the housing market news, the study used the key word “property market” to screen 32,151 economic and Udn newspaper news from the Udndata between January 2005 and December 2017, according to the housing market news. Emotions, develop two types of news sentiment indicators. The first category is the emotional indicators that receive advertising, and the second category is the emotional indicators that remove ads. In this paper, after using the vector Autoregression model to control the influence of fundamental factors, we analyze the relationship between news optimistic indicators and pre-sale housing prices and house prices in Presold house. The empirical results show that news media sentiment indicators have a significant ability to explain the housing market. Among them, the explanatory power of the trading volume is higher than the housing prices. The news media sentiment indicators have significant explanatory powers for the pre-sale housing and the transaction volume of the Presold house. However, after removing the length of the space advertisements, news media sentiment has no significant ability to explain the housing prices.
摘要 ............................... ................................ ................................ ................................ ..... i
Abstract ................................ ................................ ................................ ............................. ii
目錄 ................................ ................................ ................................ ................................ .. iii
表目錄 ................................ ................................ ................................ .............................. iv
圖目錄 ................................ ................................ ................................ .............................. vi
第一章 前言 ................................ ................................ ................................ .................... 1
第一節 研究動機和背景 ................................ ................................ ........................ 1
第二節 研究目的 ................................ ................................ ................................ .... 3
第三節 研究架構與流程 ................................ ................................ ........................ 3
第二章 文獻探討 ................................ ................................ ................................ ............ 4
第一節 決定不動產價格的基本面因素 ................................ ................................ 5
第二節 新聞媒體資訊與市場價格關係 ................................ ................................ 7
第三章 研究方法 ................................ ................................ ................................ .......... 10
第一節 房價模型 ................................ ................................ ................................ .. 10
第二節 單根檢定 ................................ ................................ ................................ .. 12
第三節 向量自我迴歸模型 ................................ ................................ .................. 14
第四章 實證結果與分析 ................................ ................................ .............................. 15
第一節 敘述性統計分析 ................................ ................................ ...................... 15
第二節 新聞媒體情緒指標對房價的解釋能力 ................................ .................. 23
第三節 去除廣告篇幅及雜訊後之新聞媒體情緒指標對房價的解釋能力 ...... 35
第四節 新聞媒體情緒指標對交易量的解釋能力 ................................ .............. 48
第五節 去除廣告及雜訊篇幅後之新聞媒體情緒指標對交易量的解釋能力 .. 60
第六節 小結 ................................ ................................ ................................ .......... 73
第五章 結論與建議 ................................ ................................ ................................ ...... 74
參考文獻 ................................ ................................ ................................ ........................ 75
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