近幾年許多金融資產的連動性、相關性有提高的趨勢,不僅股市、匯市等,房產市場也是,因此我們欲探討亞洲地區房市的相互影響關係,並以 Diebold and Yilmaz (2009) 所提出的外溢指數、外溢表來衡量。研究包含台北、東京、上海、香港、新加坡、和首爾共六個城市,資料分為全時期( 2001年第四季到2013年第四季)與次貸危機後( 2007年第一季到2013第四季),採用十期的預測誤差計算外溢指數和繪製衝擊反應函數,並且探討兩個時期的外溢效果和分析結果的穩健性。 實證結果顯示全時期的外溢指數為34.72%,次貸危機後為42.37%,表示六城市的外溢效果在次貸危機後有提高的情形。研究也指出東京、上海、香港為較有影響力的城市,且香港為最具影響力,外溢程度最大;而台北、新加坡、首爾則較易受其它城市影響,且以新加坡受外溢影響的程度最大。
The linkage or correlation of many financial assets has been raising in recent years, not only the stock market, foreign exchange, etc, but also estate market. Hence,we wanted to explore the relevance and interaction among housing market in Asia associated tools called spillover index and spillover table that proposed by Diebold and Yilmaz (2009). This study contained Asian six major cities ( Taipei, Tokyo, Shanghai, Hong Kong, Singapore, and Seoul) and our data was applied to two parts, full sample period (2001/Q4~2013/Q4) and after subprime mortgage crisis (2007/Q1~2013/Q4) respectively. We calculated spillover indexes and plotted impules response functions by using 10-step head forecast error. Finally, we analysed the spillover effects and robustness of two different periods. The empirical results show spillover index for the whole period of 34.72%, after the subprime mortgage crisis was 42.37%, and this implied the spillover effects has improved after 2007. The study also pointed out that Tokyo, Shanghai, and Hong Kong are more influential cities and Hong Kong as the most influential; Taipei, Singapore, and Seoul are more susceptible affected by other cities, especially Singapore.