| Abstract: | 股票與房地產是目前國人最普遍也最主要的兩種投資工具。雖然此兩種投資方式不論在投資標本身、市場特性、或是投資金額來看均有相當大的差異存在。但就投資報酬的角度來看,兩市場間應具有相當密切的關係存在。尤其是1989-1990年期間股票市場的蓬勃發展,國內興起一陣股票投資的熱潮,就在同期間房地產景氣亦達到高峰,兩者間呈現約略相同的波動趨勢,股票市場的熱絡更被視為是帶動房地產景氣循環的主要原因,但此種說法並未經過嚴謹的實證檢定。 過去有相當多的文獻探討房地產市場與股票市場間的關連性,但所獲得的結果卻不儘相同。如:Schnare and Struyk(1976)、Goodman(1978,1981)、Richardson and Thalheimer(1982)、Miles,Cole and Guikey(1990),Liu, H artzell,Greig and Grissom(1990)以及Geltner(1990)等人的實證發現此兩者是不同且分離(Segmentation)的市場。然而,Liu等(1992)、Ambrose, Ancel and Griffiths(1992)則發現兩市場間具有整合關係。Qkunev and Wilson(1997)則發現,當利用Engle and Granger(1987)的共積檢定法時,兩市場間為分離的,然利用非線性的模型進行實證時,兩市場間則為部份整合(Fractionally integrated),但房地產市場向股票市場的移動的速度相當緩慢且隨時間而發散。 今年初(88)國內股票市場的發展相當活絡,並數度突破萬點的大關,許多人預期此將帶動房地產氣的復甦,但至今仍無明顯的證據可證明房地產景氣已有復甦的景象,究竟在國內的特殊環境下,股票與房地產市場間的關連性為何?兩者關係是否會隨著市場結構的改變而不同?本文主要透過利用單根檢定、共積檢定與誤差修正模型,對上述問題進行探討,相信此實證結果對於現行股票市場與房地產市場混淆現象的澄清,以及日後兩市場的景氣預測有相當大的助益。
This study looks at the integration between house market and capital markets in Taiwan. In the capital market, stock investment boom has shown from 1989 to 1990, in the same time residential real estates reach to high peak. Its comovement became interesting to investor and research people. We try further test for market segmentation between house and stock market. Unit root is a necessary condition for integrated markets. The unit root part is supposed to reflect the changes in fundamentals, and the error component reflects short run deviations from the market equilibrium. Based on the hypothesis of cointegration, an error correction model is estimated. Deviations from the long run market equilibrium can be used to improve predictions of stock and house prices, e.g. house price predictions can be improved on average by using lagged changes in the stock index and the equilibrium error as a useful indicator of disequilibrium in the cointegrated markets. The presence of such an error correction term in itself shows that asset markets are not fully efficient. The major objective of this paper is by means of the results of the observation to analyze the following issues: (1) Is their existence of unit roots, pure random walks, or nonlinearities and chaotic effects in house and stock prices in Taiwan? (2) Is it any evidence on market segmentation between asset prices in Taiwan? |
