政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130529

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130529

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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130529

Title:	投資人關注對房價之影響與預測 Influence and Forecast of Investor Attention on House Prices
Authors:	呂少毫 Lu, Shao-Hao
Contributors:	陳明吉呂少毫 Lu, Shao-Hao
Keywords:	投資人關注有限關注 Google搜尋趨勢 Google搜尋量指數不動產市場 Investor Attention Limited Attention Google Trends Google SVI Real Estate Market
Date:	2020
Issue Date:	2020-07-01 13:38:27 (UTC+8)
Abstract:	許多學者在股市的實證研究發現除了基本面因素，投資人關注也影響資產的定價或報酬，投資人關注的提高伴隨著股票價格的上漲及交易量的增加並改善股票的流動性。在過去相關研究，學者使用股票極端報酬、交易量、廣告費用或新聞等資訊來建構被動投資人關注指標。隨著網路普及化，現今投資人在查詢投資標的時會使用網路瀏覽器來搜尋相關資訊，近十年許多學者使用Google瀏覽器搜尋量資料來建立主動投資人關注指標。為了探究投資人關注是否也對不動產市場產生影響，本研究使用Google Trends提供的服務，建構出幾組投資人關注指標，針對2006年至2019年的全台灣整體不動產市場及地區性的台北市、新北市不動產市場進行實證分析。實證結果顯示台灣的投資人關注影響全台灣、新北及台北市房市，投資人關注增加大多導致房價上升。透過將研究時期區分成房價上升與平穩兩時期，探究投資人關注的影響效果在兩時期的影響，結果呈現出不一致的現象，像是只有在房價平穩時期，投資面向的關注才有顯著影響房市。透過使用本研究建構的投資人關注指標及過往學者所建構的投資人情緒指標來建構房價預測模型，對於台北市房價的預測分析結果顯示，使用當期整體房市關注的房價預測模型的預測效果最好，預測能力與使用當期投資人情緒的房價預測模型相差不大。 Many scholars make empirical studies and find out that not only fundamental factors, investor attention also affects asset prices and returns. The increase of Investor attention not only causes stock price rising and trading volume increasing but also improves the liquidity of stocks. Scholars used extreme return, trading volume, advertisement expense, and news to create passive investor attention indices. With the popularization of Internet, investors currently use Internet to search investment targets. Many scholars use Google search data to create active investor attention index in this decade. To explore whether investor attention also has influence in real estate market, I use Google Trends data to create several investor attention indices to make empirical studies of real estate market of Taiwan and regional real estate markets of Taipei and New Taipei city. The study period is from 2006 to 2019. The results show that investor attention affects real estate market of Taiwan. The increase of investor attention often causes house prices rising. By dividing the study period into house prices rising period and stable period, I investigate the effects of investor attention during two different periods and find some inconsistent results such as investor attentions related to different investment aspects only have significant effect in real estate market during stable house prices period. I use investor attention indices created by this research and investor sentiment indices created by some scholars to build house prices forecast models of Taiwan real estate market. The result shows that the house prices forecast model with the usage of current period investor attention related to the entire real estate market has the best forecast ability, and the forecast ability is close to the model with the usage of investor sentiment.
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Description:	碩士國立政治大學財務管理學系 107357016
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0107357016
Data Type:	thesis
DOI:	10.6814/NCCU202000633
Appears in Collections:	[Department of Finance] Theses

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