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    題名: Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan
    作者: Wang, Yih-Chang;Huang, Ran;Nieh, Chien-Chung;Ou, Hong-Kou
    關鍵詞: Real estate;REIT;Stock index;Causality;Mackey-Glass
    日期: 2017-02
    上傳時間: 2019-09-26 12:10:35 (UTC+8)
    出版者: ATLANTIS PRESS
    摘要: This paper investigates short-run dynamic interactions between real estate investment trust (REIT) index and stock market index in Taiwan over the 2006-2015 periods. In addition to traditional linear analysis, the recently developed models are applied to explore the possible short-run non-linear linkage between the two indexes. The results of linear Granger causality tests show weak evidence of linear causality from REIT index to stock index. Further analysis from non-linearGranger causality test sreveals no causality between the two indexes. These findings have important implication for investors.
    關聯: 2017 International Conference on Applied System Innovation (ICASI), Sapporo, 2017, pp. 1611-1614.
    DOI: 10.2991/icmeim-17.2017.97
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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