股市與房市報酬率之間的關係-依區域特性探討

Relationship Between Stock And House Return in Taiwan:Research By Regions.

林子淵(Tzu-Yuan Lin)

指導教授 ： 吳儀玲

國立臺灣大學/社會科學院/經濟學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.00649

摘要

本篇的研究主要建立在 Chen (2001a) 的研究基礎上, 該文章主要在探討台灣 1973 至 1992 年間股市與房市報酬率之間的關係。
由於房地產市場報酬率與股票市場報酬率與整體經濟環境息息相關, 因此在本篇中希望能延伸研究至近 10 年台灣
各地區的房地產報酬率與股市的領先或落後關係是否有所改變, 並參考 Green (2002) 和 Kapopoulos P. (2005) 將研究
延伸至台灣各大主要地區, 其中包含台北市、新北市、新竹市、台中市與高雄市。
除了上述, 本篇加入台灣櫃買指數, 研究成長型公司的股價對於房地產市場報酬
率的影響, 並以民眾與企業方面的 2 種觀點試圖去解釋股票市場與房地產市場之
間的領先或落後關係。

在結果上面我們發現在股票市場與台北市房地產市場報酬率之間的關係會隨著時間產生結構性的改變，由股市影響房市轉變為房市影響股市。
此外近 10 年台灣除了台北市外其他各主要地區的房地產報酬率大致上皆落後於股票市場及櫃買市場報酬率。最後本文中顯示我們並沒有
足夠的證據去說明各地區的人口特徵是影響股市與房市之間關係的原因。

關鍵字

股票市場 ； 不動產市場 ； 台灣櫃買市場 ； 人口特性 ； 向量自我回歸模型 ； 因果關係

並列摘要

This study is mainly based on Chen (2001a) which discusses the relationship between the stock and real estate market return
in Taiwan between 1973-1992.
As the real estate market and the stock market return are closely related to the overall economic environment, we extend Chen's study
to include the examination of the change of the relationship between real estate and stock market returns in the past 10 years in Taiwan.
Referencing to Green (2002) and Kapopoulos P. (2005) , we also consider all major regions of Taiwan,
including Taipei City, New Taipei City, Hsinchu City, Taichung City and Kaohsiung City.
In addition, we added the Taiwan Gre Tai Securities Market Capitalization Weighted Stock Index (GTEX)
to examine the relationship between real estate market return and the stock price of growth firms.
This study analyzes the relationship between the stock and
real estate market return in Taiwan by the viewpoints of people and enterprises.

We find out that the relationship between the stock market and Taipei real estate market will change over time.
In the past 10 years, the real estate market return of all major regions in Taiwan excluded Taipei City are lagged behind both the stock market return
and the GTEX return.
Finally, this paper shows no evidence to illustrate the relationship between the stock market and the real estate market by demographics.

並列關鍵字

Stock market ； Real estate market ； Over the counter market ； Demographics ； Vector autoregression ； Casuality

參考文獻

Kiyotaki, N. Moore. (1996), “Credit cycles”, Journal of Political Economy, 105(2), 211–248.

Bellante, Don and Link., Albert N. (1981), “Are public sector workers more risk averse than private sector workers?”, Industrial and Labor Relations Review, 34, 408–412.

Chen, N. K. (2001a), “Asset price fluctuations in taiwan: Evidence from stock and real estate prices 1973 to 1992”, Journal of Asian Economics, 12, 215–232.

(2001b), “Bank net worth, asset prices and economic activity”, Journal of Monetary Economics, 48, 415–436.

Green, R. K. (2002), “Stock prices and house prices in california: New evidence of a wealth effect?”, Regional Science and Urban Economics, 32, 775–783.