台灣房地產市場與股票市場互動關係之研究—以非線性方法分析

The Asymmetric Relation between Taiwan Stock and Real Estate Markets

許鈺翎(Yu-Ling Hsu)

指導教授 ： 李家豪

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2019年)

摘要

1980年代，台灣的股票市場逐漸熱絡，股票加權指數以及成交量每每創新高，在投資人的財富增加到一定程度後，便將一部份資金轉投資往房地產或是不動產相關商品上，因此可以發現此時期房地產以及不動產商品市場也跟著熱絡起來。
但是在1990年後，股票市場的景氣消退，不動產市場的熱絡程度也跟著下降。因此，在股票市場以及不動產市場之間彷彿存在著關聯性。這也是本篇的研究動機。
若股票市場與不動產市場之間有關聯性，則這兩個市場的商品會產生替代性，在此情形下，同時持有這兩個市場商品之投資組合，想要分散投資組合的風險效果會極度有限。但若這兩個市場之間沒有相關，同時投資股票以及不動產將投資人的投資組合的分散風險效果將非常顯著。
本篇文章除了採用線性分析以外，也引用無母數共整合檢定來分析是否有非線性整合，研究期間為1991年Q3至2004年Q4台灣的股價及房價研究資料，並且使用了各種不同的迴歸分析方法、利用各種分析角度，透過線性分析以及非線性整合分析，結果發現，台灣的房價與台灣的股票加權指數之間具有非線性共整合關係。
此外，本文也發現加權指數的變動會引起房地產價格的變動。並且利用上述結果建構出一個LSTR模型。本文也發現於研究期間台灣房價與股價的互動，所呈現為正向關係。

關鍵字

股票市場 ； 不動產市場 ； LSTR

並列摘要

In the 1980s, Taiwan’s stock market gradually became more and more,the stock-weighted index and the volume of transactions are every new high, after the investor’s wealth has increased to a certain extent. Some of the funds were transferred to real estate or real estate-related commodities, so it can be found that real estate and real estate market are also heating up during this period.
However, after 1990, the stock market's boom subsided, and the degree of enthusiasm in the real estate market also declined. Therefore, there seems to be a correlation between the stock market and the real estate market. This is also the motivation for this study.
If there is a correlation between the stock market and the real estate market, then the products in these two markets will have an alternative. In this case, the risk portfolio of the two market products will be diversified. Extremely limited. However, if there is no correlation between the two markets, the risk of diversifying the investment portfolio of the investor and the real estate will be significant.
In addition to linear analysis, this article also refers to the non-parent integration test to analyze whether there is nonlinear integration. During the study period, from 2009 Q3 to 2004, Q4 Taiwan's stock price and house price research data, and used various regressions.
Analytical methods, using various analytical perspectives, through linear analysis and nonlinear integration analysis, found that there is a nonlinear co-integration relationship between Taiwan's housing prices and Taiwan's stock-weighted index.
In addition, this paper also finds that changes in the weighted index will cause changes in real estate prices. And using the above results to construct an LSTR model. This paper also finds that the interaction between house prices and stock prices during the study period is positive.

並列關鍵字

stock ； estate market ； LSTR

參考文獻

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