金融海嘯前後房市與股市互動關係之研究-以美國及大中華地區三大市場為例

The Relationship between Real Estate Market and Stock Market－The Case of US and Greater China Area

朱薇霖(Wei-Lin Chu)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300559

摘要

在世界全球化下，各種無國界的貿易活動應運而生，促使全球加速經濟發展，而廣大的新興亞洲市場也因經濟活絡刺激了住房需求。加上華人世界有著根深蒂固的「有土斯有財」之觀念，更是對大中華地區之房市產生推波助瀾的效果。本研究特以美國及與美國連動性較高的台灣、中國大陸及香港作為研究對象，俾探討房市和股市間之互動關係。研究期間係自2004年6月至2012年12月，且劃分成金融海嘯之前及之後，並採用共整合檢定、向量自我迴歸、向量誤差修正模型、Granger因果關係檢定、EGARCH模型以及外溢效果模型等加以探討。本研究之實證結果彙總於下：

1. 本研究發現，在全樣本期間內，美國的房市與股市間存在著長期均衡關係，但台灣與香港並不存在長期均衡關係，而中國大陸則在歷經金融海嘯後，才具有長期均衡關係。
2. 中國大陸在金融海嘯之後的房市誤差修正係數呈顯著負向，表示中國大陸的房市在歷經金融海嘯後更為穩定，但同時期的美國的房市並不穩定。
3. 本研究經由因果關係檢定發現，美國、中國大陸及香港均呈現股市領先房市之單向顯著影響，但台灣的房市與股市卻存在雙向回饋之因果關係。而在地區間的房市部分，本研究發現美國房市領先中國大陸房市，但中國大陸與香港的房市則存在雙向回饋關係，且在金融海嘯之後，香港房市還領先美國房市。
4. 本研究經由EGARCH模型檢定顯示，大中華地區的台灣與香港房市皆存在波動性不對稱之現象，且房市對壞消息較為敏感，當房價下跌時，其波動率會更劇烈，也沒有抗跌效果。而台灣房市在金融海嘯之前後，皆具有波動性不對稱之槓桿效果。

關鍵字

因果關係 ； 外溢效果 ； 全球金融海嘯 ； 共整合 ； 股票市場 ； 房地產市場 ； EGARCH ； VAR ； VECM

並列摘要

As a global community, countries have developed a variety of international commercial activities, which in turn promoted the global economies, including Asian economies. Along with the rapid development of Asian economies, the demands for Asian real estates and stocks increase dramatically, which flourish the Asian real estate and stock markets. On the other hand, the idea of "There is soil, there is wealth" is deeply rooted in Chinese culture which also helps the prosperity of the Chinese real estate markets. Additionally, numerous financial analysts deemed that Asian financial market, especially, the great Chinese area (namely, mainland China, Hong Kong, Taiwan) markets are linked with U.S. financial market. These facts motivate this study to examine the impact of the U.S. real estate and stock markets on the great China area's real estate and stock markets.

This study uses the cointegration test, Granger causality test, Vector Autoregression (VAR) model, Vector Error Correction model (VECM) and GARCH model to examine the relationship between real estate and stock markets in the U.S., Hong Kong, mainland China and Taiwan from June 2004 to December 2012. In order to examine the impact of financial tsunami occurred in 2008 on the real estate and stock markets of these four areas, this investigation divides the entire sample period into two sub-periods: the 1st sub-period runs from June 2004 to August 2008, while the second sub-period runs from October 2008 to December 2012. Empirical results are summarized below:

1. There is a long-term equilibrium relationship between real estate and stock markets in the United States, while there are no long-term relationship between these two markets in Taiwan and Hong Kong. However, there is a long-term equilibrium relationship between these two markets in mainland China during the period after financial tsunami only.
2. The VECM test indicates that the coefficient of error correction in the real estate market in mainland China is significantly negative during the second sub-period, suggesting that the real estate market in mainland China becomes stable after financial tsunami period. However, the U.S. real estate market was unstable during the second sub-period.
3. Empirical findings indicate that the stock markets unilaterally affect the real estate markets in the U.S., mainland China and Hong Kong. However, there is a bi-directional relationship between stock and real estate markets in Taiwan. This study also finds that the real estate market in the U.S. unidirectionally affects that in mainland China, while the real estate market in mainland China has bidirectional relationship with that in Hong Kong. Empirical result also show that the real estate market in Hong Kong unilaterally affects that in the U.S. during the second sub-period.
4. This investigation also finds that asymmetric volatility exists in both Taiwan’s and Hong Kong’s real estate markets through E-GARCH model. These real estate markets are very sensitive to bad news. The volatility rate of the real estates is more fluctuate during the house price falling period than during the price rising or flattening period. Especially, asymmetric volatility exists in Taiwan no matter what time before or after financial tsunami period.

並列關鍵字

Causality ； Real estate market ； Cointegration ； Global financial crisis ； EGARCH model ； VAR model and VECM model ； Stock market

參考文獻

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