境外資金匯回專法對股市與房市關聯性的影響

The impact of the special acts on the repatriation of offshore funds on the relationship between the stock market and the housing market

林嘉(Jia Lin)

指導教授 ： 莊忠柱

共同指導教授 ： 王譯賢(Yi-Hsien Wang)

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2022年)

https://doi.org/10.6846/TKU.2022.00741

摘要

本研究探討台灣股市與房市的關聯性，並探討境外資金匯回專法實施後對股市與房市關聯性的影響。以台灣加權股價指數、國泰房價指數(預售屋及新成屋)和信義房價指數(中古屋)為研究對象，利用向量自我迴歸模型，使用Granger因果關係檢定法檢測台灣加權股價指數與房價指數之間的領先落後關係和因果關係。
實證結果發現，就股市與預售屋及新成屋房市關聯性而言，加權指數報酬在價格發現能力上領先國泰房價指數變動，股市影響房市，具有單向因果關係。專法實施後二者之間的關聯性不受影響。就股市與中古屋房市關聯性而言，加權指數報酬與信義房價指數變動未發現顯著的因果關係。專法實施後二者之間的關聯性受到影響，股市與房市具有互為領先、落後的雙向因果關係。此結果可以讓政府了解政策實施對經濟的影響，也可以為對房地產感興趣的投資者進行投資配置提供參考。

關鍵字

股市 ； 房市 ； 房價指數 ； 向量自我迴歸模型 ； 境外資金匯回專法

並列摘要

This study explores the relationship between the Taiwan stock market and the housing market, and discusses the impact of the implementation of the special acts on repatriation of offshore funds on the relationship between the stock market and the housing market. Taking the Taiwan Weighted Stock Price Index, Cathay Pacific House Price Index (pre-sales and new housing) and Xinyi House Price Index (existing housing) as the research objects, using the vector autoregression model, and using the Granger causality test to detect the Taiwan weighted stock price index and house prices Leading-lagging and causal relationships between indices.
The empirical results show that in terms of the relationship between the stock market and the pre-sales and new housing markets, the weighted index return leads the Cathay Pacific house price index in terms of price discovery ability, and the stock market affects the housing market, which has a one-way causality. After the implementation of the special law, the relationship between the stock market and the pre-sales and new housing markets will not be affected. As far as the relationship between the stock market and the existing housing market is concerned, no significant causal relationship has been found between the weighted index return and the Xinyi house price index. After the implementation of the special law, the relationship between the stock market and the existing housing market has been affected, and the stock market and the housing market have a two-way causal relationship with each other leading and lagging behind. This result can allow the government to understand the impact of policy implementation on the economy, and can also provide a reference for investors interested in real estate to make investment allocations.

並列關鍵字

Stock Market ； Housing Market ； House Price Index ； Vector Autoregression Model ； Special Acts on the Repatriation of Offshore Funds

參考文獻

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