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    Title: 房價與加權股價指數走勢之長短期非線性因果關係研究 : 臺北市與高雄市之比較
    Other Titles: TAIEX and house price : non-linear causal relationship between short and long-term research (Taipei City and Kaohsiung City comparison)
    Authors: 李明哲;Lee, Ming-Che
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;謝劍平;Nieh, Chien-Chung;Shieh, Joseph C. P.
    Keywords: 股價;房價;動差門檻自我迴歸模型;門檻誤差修正模型;Stock price;House Price;Momentum-Threshold Autoregressive Model;Threshold Error-Correction Model
    Date: 2013
    Issue Date: 2014-01-23 13:30:20 (UTC+8)
    Abstract: 本研究以台灣加權股價指數,臺北市及高雄市之房價指數資料為研究摽的,自90年第1季至101年第4季共12年期間之季資料,各48筆觀測值,利用非線性模型架構,分別研究台灣加權股價指數,臺北市及高雄市之房價指數之長短期因果關係。
    在研究方法上,採用以Enders and Granger(1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM),來探討變數間的長短期非對稱因果關係。
    實證結果發現:台灣加權股價指數,北、高兩市的房價指數均屬於I(1)的時間數列,在以北、高兩市的房價指數作為被解釋變數、台股大盤為解釋變數的情形之下,北、高兩市的房價指數與台股大盤存在共同趨勢及長期均衡關係。
    台灣加權股價與北、高兩市房價指數長短期因果關係方面,以門檻誤差修正模型為基礎之實證結果台灣加權股價變動對北、高兩市變動之影響為正向,台灣加權股價指數與北、高兩市房價指數變動在短期並無因果關係,在長期而言,台股大盤對北高房地產市場具長期單向因果關係,實證結果發現台股大盤對北高房地產具顯著領先關係。
    Stock price and house price non-linear causal relationship between short and long-term research based on TAIEX index , Taipei city and Taipei county house price index from 2001 Q1 to 2012 Q4.
     Research methods used by threshold autoregressive model, momentum-threshold autoregressive mode, further used by threshold error-correction model to find out the relationship between the changes on the house price of Taipei city and Kaohsiung City and the changes on TAIEX index .
    In the short term, the changes on TAIEX index and the changes on the house price of Taipei city and Kaohsiung City have no causal relationship. In the long term, the changes on TAIEX index have a significant ahead of changes on the house price of Taipei city and Kaohsiung City.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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