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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64662

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题名:	Relationships between TOPIX Real Estate and Nikkei 225 index
作者:	Lee, Yi-Hsi;Shyu, So-De;Hsieh, Ming-Hua;Lee, Ming-Lin 謝明華;李宜熹;徐守德
贡献者:	風管系
关键词:	Finance;Portfolio;Real Estate;Stock Price;Stocks
日期:	2010-08
上传时间:	2014-03-18 17:34:33 (UTC+8)
摘要:	This paper adopts the threshold error correction model to examine the asymmetric price transmission between the TOPIX real estate index and Nikkei 225 stock index in Japan. The findings indicate that there exists a bidirectional causal feedback relationship between the real estate and stock price indexes in the short term and an asymmetric price transmission between the real estate and stock price indexes in the long term. When the market imbalance shrinks, the speed with which the markets resume long-term equilibrium is slower whereas when the market imbalance widens, the speed with which the markets resume long-term equilibrium is faster. However, the error correction terms are only significant in the real estate market. This paper makes it easier for investors to predict the performance of one market from that of another and serves as a reference for allocations of investment portfolios. It is recommended that the assets of these two markets should not be included in the same investment portfolios. For government agencies, this paper can be of assistance for policy making in politics and finance.
關聯:	International Research Journal of Finance and Economic, 42, 150-162
数据类型:	article
显示于类别:	[風險管理與保險學系] 期刊論文

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