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    題名: Integration between Real Estate Market and Stock Market:Evidence from Taiwan
    作者: Wang, Yih-Chang, Ran Huang, Chien-Chung Nieh, Hong-Kou Ou and Maochieh Chi
    關鍵詞: Indexes;Stock markets;Standards;Time series analysis;Electronic mail;Investment;Couplings
    日期: 2017-01-01
    上傳時間: 2017-11-01 02:10:22 (UTC+8)
    摘要: This paper investigates long-run equilibrium relationship between real estate market and stock market in Taiwan using real estate investment trust (REIT) index. Linear cointegration model and recently developed time-varying vector error correction model are applied to explore possible long-run linear and non-linear linkage between the two indexes. The results of both the cointegration tests point to the existence of neither linear nor non-linear cointegration, suggesting that REIT markets are segmented from stock markets. These findings have important implication for investors and policy makers.
    關聯: Proceedings of the 2017 IEEE International Conference on Applied System Innovation (IEEE-ICASI 2017)
    DOI: 10.1109/ICASI.2017.7988240
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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