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Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/64662


Title: Relationships between TOPIX Real Estate and Nikkei 225 index
Authors: Lee, Yi-Hsi;Shyu, So-De;Hsieh, Ming-Hua;Lee, Ming-Lin
謝明華;李宜熹;徐守德
Contributors: 風管系
Keywords: Finance;Portfolio;Real Estate;Stock Price;Stocks
Date: 2010-08
Issue Date: 2014-03-18 17:34:33 (UTC+8)
Abstract: 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.
Relation: International Research Journal of Finance and Economic, 42, 150-162
Data Type: article
Appears in Collections:[Department of Risk Management and Insurance] Periodical Articles

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