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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/61146


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61146


    Title: 預售屋與成屋價格領先落後關係
    The Price Lead-Lag Relationship between the Presale and Spot Real Estate Market
    Authors: 侯鈞元
    Contributors: 屠美亞
    侯鈞元
    Keywords: 領先落後
    資訊不對稱
    房價指數
    lead-lag
    information asymmetric
    price index
    VECM
    Date: 2012
    Issue Date: 2013-10-01 11:39:26 (UTC+8)
    Abstract: 相較於金融市場，有關於預售屋、新屋和二手屋之間的房價領先落後關係較少被提出來探討。主要的原因是不動產市場上並沒有一個適合的價格指標來衡量預售屋和新屋的房價，因此本篇文章首先利用台北市的預售與新屋資料，來建立信義代銷指數，透過這個指數，作為衡量預售與新屋房價的指標。最後在使用向量自我回歸來檢定指數間的領先落關係。
    實證結果顯示代銷指數和信義二手屋指數有長期共整合關係，當兩者價關係偏離長期均衡，預售屋和新屋的價格修正速度會較二手屋還要快。
    這個結果符合一開始假設，相較於買房的人，建商擁有較多的資訊，因此建商在對預售屋和新屋定價時，反應較多的資訊，導致預售屋和新屋領先二手屋。同時我們將預售屋和新屋從代銷指數中拉出，再對這兩個指數進行領先落後關係的實證。結果發現新屋反應價格的速度較預售屋還要快，結果也和第二個假設一致，由於新屋的成本較高，因此其價格調整的速度會較預售屋快。
    Whether or not there is a lead-lag relation among the resale market, the new house market, or the presale market is a question worthy of examination. I build the marketing index respectively for the new house and the presale market for the city of Taipei and employ the VECM to examine the issue, while the index for the resale market is the the XinYi index built by the XinYi Realty.
    The empirical result shows that there a long-run cointegration between the marketing index and the resale index. When the relationship between the two markets deviates from the long-term equilibrium, the prices in the presale and the new house market adjust faster than that in the resale market. This lead-lag relationship indicates that the developers in the presale or new house markets have information advantages comparative to the buyers in the resale market. Furthermore, there is also a cointegration relationship between the price index of the presale and the new house markets. This result may indicate that the comparatively high carrying costs in the new house market ignite its developers to adjust their listing price faster than its counter parties in the presale market.
    Reference: Reference
    1. Blose, Laurence E., 2010, “Gold prices, cost of carry, and expected inflation”, Journal of Economics and Business, 62, 35-47
    2. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2009, “Transaction volume and price dispersion in presale and spot real estate markets”, Journal of Real Estate Finance and Economics, 38, 241-253
    3. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Volatility transmission in the real estae spot and forward markets”, Journal of Economics and Business, 35, 281-293
    4. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Housing quality in the Forward Contracts Market”, Journal of Real Estate Finance and Economics, 34, 313-325
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    19. Yiu, C. Y., Hui, E. C. M. and Wong, S. K., 2005, “Lead-Lag Relationship between the Real Estate Spot and Forward Contracts Market”, Journal of Real Estate Portfolio Management, 11, 253-262
    20.張麗姬 (民 83)，「從遠期契約和現貨的角度論預售屋和成屋的價格關係─以台北市為例」，住宅學報，第二期，第67-85頁
    21.張金鶚、楊宗憲、洪裕仁 (民 97)，「中古屋及預售屋房價指數之建立、評估與整合─以台北市之實證分析」，住宅學報，第二期，第13-34頁
    Description: 碩士
    國立政治大學
    財務管理研究所
    100357014
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100357014
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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