應用大數據分析商用不動產市場、股票市場情緒與收益之交叉關聯

本研究以網路討論熱度作為市場需求的參考，主要探討商用不動產市場、股票市場之網路聲量情緒對各市場收益之影響，以向量自我迴歸模型（VAR）分析市場情緒與價格之動態關聯。另考慮到商用不動產市場與股票市場情緒變數蒐集之原始聲量來源眾多，蒐集網站如Facebook、Instagram、PTT、Mobile 01、Dcard、ETtoday、Linetoday…等，惟各網站之屬性不同，像是Facebook、Instagram、PTT、Mobile 01與Dcard多半是自發性討論或針對特定議題進行回覆與留言，為較開放且隨機之言論；ETtoday與Linetoday則是電子新聞報導，其中可能夾雜廣告、宣傳或教育之性質，故本研究將網路聲量進行分類，將來源細分為多半是自發性發言之「網路社群」與具有宣傳、廣告性質之「新聞媒體」等二來源集，分別建構情緒指標，嘗試以兩種不同性質的聲量屬性角度探討商用不動產市場與股票市場情緒與價格之關聯性。實證結果發現，前兩個月至前四個月的商用不動產市場「網路社群」聲量情緒將正向影響當期的商用不動產市場收益；而前兩個月與前三個月的商用不動產市場「新聞媒體」聲量情緒負向影響當期的商用不動產市場收益，顯示網路社群與新聞媒體之討論內容與熱度確實對於商用不動產市場具解釋效果。此外，本研究亦發現前兩個月的股票產市場「新聞媒體」聲量情緒將正向影響當期的商用不動產市場收益，換句話說，股票市場之聲量情緒可以用於預測未來商用不動產市場之發展趨勢，證實股票市場與商用不動產市場間存在情緒外溢效應。透過網路社群或新聞媒體之討論情緒不僅可補足過去單靠總體經濟變數所無法解釋之市場意向，亦提供商用不動產市場一新穎的預測指標。本研究之實證結果可提供政府、投資者或不動產相關從業人員在觀察市場、進行投資決策或政策制定之參考依據。

關鍵字

網路聲量情緒；社群媒體；新聞媒體；商用不動產市場；向量自我迴歸

並列摘要

This research uses the popularity of internet discussions as a reference for market demand, and explores the impact of online sentiment on the price of the commercial real estate market and the stock market, as well as analyzes the dynamic relationship between the sentiment of the market and the revenue of the market with the Vector Auto Regression model. In addition, this research divides the online sentiment into two source sets: " social media" that involve spontaneous discussions and "news media" that potentially involve propaganda and advertising. The empirical results show that the sentiment of the " social media " in the commercial real estate market during last two months to last four months positively affects the current commercial real estate market revenue; while the sentiment of the "news media" in the real estate market during last two months and last three months negatively affects the current commercial real estate market revenue, which also indicates that the content and the popularity of discussions between the internet and the news media do have an explanatory effect on the commercial real estate market. Moreover, this study shows that online sentiment of the "news media" in the stock market during last two months positively affects the current commercial real estate market earnings. In other words, the development trend of the market confirms that there is a spillover effect between the stock market and the commercial real estate market.