房價漲跌與股價波動的相互關係

The Relationship between Housing Prices and the Volatility of Stock Prices

胡美蓮(mei-lien Hu)

指導教授 ： 林文昌

國立中正大學/管理學院/財務金融學系/碩士(2012年)

摘要

本研究主要探討房價的漲跌與股票市場股價波動之間的關聯性，而股價的波動又區分為整體市場的加權股價及產業面的營建類股價，研究期間從1998年第一季到2011年第二季止，房價指數採用季資料，股價方面則採用日交易資料，再按照每日股價指數報酬的變異數加總後成為季的報酬總波動。然後運用向量自我迴歸模型、 Granger因果關係檢定及預測誤差變異數分解等方法，來探討房價漲跌與二種股價波動之間的領先落後關係及互為影響的程度。
研究結果顯示，經由向量自我迴歸模型估計的參數結果，可發現房價指數漲跌與加權股價指數之總波動具有顯著的負向關係，而房價指數漲跌則與營建類股價指數之總波動呈現無關的情況。
在Granger因果關係檢定中，可發現二種單向因果關係：房價指數漲跌領先加權股價指數總波動、營建類股價指數總波動領先加權股價指數總波動，而房價指數漲跌與營建類股價指數總波動則無因果關係。
經由預測誤差變異數分解，可發現房價指數漲跌主要是受自己本身所影響；營建類股價指數總波動約九成是受自己本身所影響；而加權股價指數總波動，在短期而言，主要是受自己本身所影響，但長期而言，受營建類股價指數總波動的影響越來越大。

關鍵字

股票市場總波動 ； 單根檢定 ； 向量自我迴歸模型 ； 因果關係檢定 ； 預測誤差變異數分解

並列摘要

This thesis aims to investigate the relationship between housing prices and the volatility of stock market index and the stock index in the construction industry. The data period spans from 1998 to 2011. The quarterly volatility of stock prices is calculated from the daily trading data while the housing price data is essentially quarterly basis. This thesis conducts the vector autoregressive model (VAR), Granger causality tests and variance decomposition when examining the lead-lag relationship between housing prices and the stock volatility.
The empirical evidence reveals that housing prices are negatively related to the volatility of the stock market index whereas the relationship between housing prices and the stock index volatility in the construction industry is fragile. The empirical results also find that there are two on-way causality relationships. The housing prices have a lead effect on the volatility of stock market index while the stock index volatility in the construction industry also has a lead effect on the volatility of stock market index. Surprisingly, I do not find any relationship between the housing prices and the stock index volatility in the construction industry. Finally, the results from the variance decomposition suggest that housing price changes are primarily caused by its past changes, and the stock index volatility in the construction industry is also mainly affected by its lagged terms. However, the volatility of stock market index in the short run is primarily influenced by its lagged terms but is affected by the lagged volatility of the stock index in the construction industry in the long run.

並列關鍵字

Aggregate Market Volatility ； Unit Root Test ； VAR Model ； Granger Causality ； Variance Decomposition

參考文獻

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