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研究生:謝明勳
研究生(外文):HSIEH, MING-HSUN
論文名稱:股市與房市之研究:來自臺灣的實證研究
論文名稱(外文):Relationship between Stock Market and House Market:Evidences from Taiwan
指導教授:王健安王健安引用關係
指導教授(外文):WANG, CHIEN-AN
口試委員:張金鶚彭建文王健安
口試委員(外文):CHANG, CHIN-OHPENG, CHIEN-WENWANG, CHIEN-AN
口試日期:2019-06-26
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:財務金融學系
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:2019
畢業學年度:107
語文別:中文
論文頁數:123
中文關鍵詞:長短期關係Granger因果關係向量自我迴歸模型衝擊反應函數
外文關鍵詞:long-term(short-term) relationshipGranger causalityVector Autoregression modelImpulse response function
DOI:10.6837/ncnu20190026
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本文試著釐清實務界常常說到投資股市還是投資房市好?在此議題的架構下延伸探討股市與房市是否處於長短期與整合(區隔)關係,以及理論較成熟的股市價量關係是否能夠直接應用在房市的價量關係上。實證結果發現:房市對股市的影響是屬於區隔關係,而股市對房市的影響是長期且整合。理論較成熟的股市價量關係無法直接套用在房市的價量關係上,是因為不動產市場的異質性與效率性較差,較難被自己的過去解釋。最後,本文比較投資股市與房市的績效,整體來說不同的房市代理變的績效優於股市,然而考慮到股利收益與租金收益與ETF(0050)來貼近加權股價指數時,股市的績效則會優於房市的代理變數,也因為房市的效率性較差,則較容易有套利的機會。
This study tries to clarify that the practice often talks about investing in the stock or in the house market. Under the framework of this issue , it is extend to examine whether the stock market and the house market are in a long-term(short-term) and integration(segmental) relationship and whether the theory of mature price-volume relationship in the stock market can be directly applied to price-volume relationship in the stock market. The empirical results show that the impact of house market on the stock market is a segmental relationship and the impact of the stock market on the house market is long-term and positive integrated. The theory of mature price-volume relationship in the stock market can’t be directly applied to price-volume relationship in the stock market because the heterogeneity and efficiency of the real estate market are poor and difficult to explain by their own past. Finally, this study compares the performance of investing in the stock market and house market. Overall, the performance of the house market is better than the stock market. In addition to considering the dividend income, rental income and ETF(0050), the performance of the stock market is better than the house market.
致謝詞……………………………………………………………………………………………………………………… i
摘要……………………………………………………………………………………………………………..………... ii
Abstract………………….…………………………………….………………………………………………….……. iii
目次…………………………………………………………………………………………………………………….…. iv
表目次…………………………………………………………………………………………………………………. vi
圖目次……………………………………………………………………………………………………….……... viii
第1章 緒論……………………………………………………………………………………………………...... 1
第2章 文獻回顧與啟發……………………………………………………………………………………… 4
2.1、股房市沒有關係……………………….…………….…………………………..…………. 4
2.2、股房市有關係………..………………………………………………………………………. 4
2.3、股房市的價量關係……..…………………………………………………………………. 6
2.4、股房市與資金的關係………………………………..………………….……………… 14
2.5、股房市投資績效的比較………………………………………….……………………. 16
2.6、文獻的啟發以及統整…………………………………………………….……………… 18
第3章 研究方法…………………………………………………………………………………………………. 23
3.1、資料來源、變數定義………………………………………………………….……….. 23
3.2、變數的基本敘述統計分析……………………………………………….………….. 31
3.3、假設檢定……………………………………………………………………….……………… 42
第4章 實證結果…………………………………………………………………………………………………. 45
4.1、VAR前的資料型態檢視、單根檢定、滯後期數與白噪音等….…. 45
4.2、擬驗證的假說:區隔或整合(互補)的市場…………………………….…… 46
4.3、共整合分析………………………………………………………………………………….. 53
4.4、傳統Granger因果關係………………………………………………………………… 53
4.5、股房市之VAR、衝擊反應函數與變異數分解…………………………….. 57
4.6、Robustness Tests…………………………………………………………………………… 64
第5章 股房市的價量關係……………………………………………………………………………….. 66
5.1、股房市價量研究理論…………………………………………………………………… 66
5.2、股市的價量關係…………………………………………………………………………… 71
5.3、房市的價量關係…………………………………………………………………………… 75
第6章 股房市投資報酬與風險的分析………………………………………………………………. 80
6.1、變數定義、資料來源…………………….…………………………..………………… 80
6.2、比較前的條件設定……………………………………….…..…………………………. 88
6.3、報酬與風險比較……………………………………………….……..……..…………… 90
6.4、模擬結果在投資涵意的應用………………….………………………..….……... 91
6.5、Robustness Test…………………………………………………………………………… 102
第7章 結論……………………………………………………………………………..……………………….. 104
參考文獻…………………………………………………………………………………………………………….. 105
1、中文部分………………………………………………………………………………………….. 105
2、英文部分………………………………………………………………………………………….. 106
附錄…………………………………………………………………………………………………………………….. 114
附錄1、VAR前的單根檢定、落後期數選取…………………………………….… 114
附錄2、投資在不同地區與產品之比較…………………………..…………………… 119
表目次
表 1 文獻的啟發以及統整 18
表 2 各變數代號、定義與資料來源 25
表 3 變數的基本敘述統計分析 32
表 4 相關係數Matrix表 33
表 5 HPCathay(國泰房地產指數)對SPindex(加權股價指數)的影響是否為區隔市場 46
表 6 HPCathay(國泰房地產指數)對SPindex(加權股價指數)是否為短期市場 47
表 7 HPCathay(國泰房地產指數)對SPindex(加權股價指數)是否為長期市場 47
表 8 HPCathay(國泰房地產指數)對SPindex(加權股價指數)影響迴歸係數 49
表 9 SPindex(加權股價指數)對HPCathay(國泰房地產指數)的影響是否為區隔市場 50
表10 SPindex(加權股價指數)對HPCathay(國泰房地產指數)是否為短期市場 50
表11 SPindex(加權股價指數)對HPCathay(國泰房地產指數)是否為長期市場 51
表12 SPindex(加權股價指數)對HPCathay(國泰房地產指數)的影響迴歸係數 52
表 13 Granger-Causality tests結果 55
表 14 向量自我迴歸 58
表 15 SPindex(加權股價指數)之變異數分解 63
表 16 HPCathay(國泰房地產指數)之變異數分解 63
表 17 貨幣供給量之變異數分解-國泰房地產(新屋)指數 64
表 18 股房市價量相關係數表 69
表 19 向量自我迴歸-股市價量關係 72
表 20 SPindex(加權股價指數)之變異數分解 74
表 21 SVolume(股市成交量)之變異數分解 74
表 22 向量自我迴歸-房市價量關係 76
表 23 HPCathay(國泰房地產指數)之變異數分解 78
表 24 HVolume(房市成交量)之變異數分解 78
表 25 各變數代號、定義與資料來源 82
表 26 變數的基本敘述統計分析 85
表 27 相關係數Matrix表 86
表 28 投資的成本 90
表 29 投資股市V.S.不動產的報酬率V.S.定存的利率:2001Q1~2018Q4(累積報酬率) 94
表 30 投資股市V.S.不動產V.S.定存的總報酬:2001Q1~2018Q4 95
表 31 加權股價指數之動態報酬矩陣 96
表 32 建材營建類股之動態報酬矩陣 97
表 33 營建署住宅價格指數之動態報酬矩陣 98
表 34 信義房價指數之動態報酬矩陣 99
表 35 國泰房地產指數之動態報酬矩陣 100
表 36 REITS指數之動態報酬矩陣 101
附表 1 各變數單根檢定 114
附表 2 不同落後期數AIC比較表 115
附表 3 落後五期VAR模型各變數殘差項之檢定結果 116
附表 4 模式為數列無趨勢路徑且共整合方程式有常數項之共整合檢定 118
附表 5 附表5營建署投資六都與股市報酬率整理表 119
附表 6 國泰投資六都與股市報酬率整理表 120
附表 7 信義投資六都與股市報酬率整理表 121
附表 8 投資房市與0050台灣50報酬率整理表 122
附表 9 投資房市(含租金)與加權股價報酬指數(含股利)報酬率整理表 123
圖目次
圖 1 Econometric Modeling (of Time Series)研究流程 24
圖 2 資產繁榮與蕭條 37
圖 3 SPindex(加權股價指數)與HPCathay(國泰房地產指數)(2010=100) 38
圖 4 SPindex(加權股價指數)與HPCathay(國泰房地產指數)變動率 38
圖 5 SPindex(加權股價指數)與HPCathay(國泰房地產指數)(2016=100) 39
圖 6 SPindex(加權股價指數)與HPCathay(國泰房地產指數)變動率 39
圖 7 加權股價指數與台北信義房價指數與變動率 40
圖 8 SPindex(加權股價指數)與HPTaipeicity(台北信義房價指數)(基期2011=100) 40
圖 9 SPindex(加權股價指數)與HPTaipeicity(台北信義房價指數)變動率 41
圖 10 SPindex(加權股價指數)與HPXinyi (信義房價指數)(基期2001=100) 41
圖 11 SPindex(加權股價指數)與HPXinyi (信義房價指數)變動率 42
圖 12 SPindex(加權指數)的誤差項給予HPCathay(國泰)一單位衝擊 59
圖 13 HPCathay(國泰)的誤差項給予SPindex(加權指數)一單位衝擊 59
圖 14 M2(貨幣供給量)的誤差項給予SPindex(加權指數)一單位衝擊 60
圖 15 M2(貨幣供給量)的誤差項給予HPCathay(國泰)一單位衝擊 61
圖 16 SPindex(加權指數)的誤差項給予M2(貨幣供給量)一單位衝擊 61
圖 17 HPCathay(國泰)的誤差項給予M2(貨幣供給量)一單位衝擊 62
圖 18 SPindex(加權股價指數)與SVolume(股市成交量)關係圖 68
圖 19 HPCathay(國泰房地產指數)與HVolume(建物買賣移轉登記)關係圖 68
圖 20 SPindex(加權股價指數)與SVolume(股市成交量)變動率 69
圖 21 HPCathay(國泰房地產指數)與HVolume(建物買賣移轉登記件數)之蛛網理論 70
圖 22 HPCathay(國泰房地產指數)與HVolume(建物買賣移轉登記)變動率 70
圖 23 SVolume(股市成交量)的誤差項給SPindex(加權指數)一單位衝擊 73
圖 24 SPindex(加權指數)的誤差項給SVolume(股市成交量)一單位衝擊 73
圖 25 HVolume(房市成交量)的誤差項給HPCathay(國泰)一單位衝擊 77
圖 26 HPCathay(國泰)的誤差項給HVolume(房市成交量)一單位衝擊 77
圖 27 半衰期-加權股價指數(SPindex) 79
圖 28 半衰期-國泰房地產指數(HPCathay) 79
圖 29 CD(五大銀行一年期定存利率) 87
圖 30 BMCindex(建材營造指數)(基期1986年=100) 87
圖 31 REITS指數 88
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