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https://ah.lib.nccu.edu.tw/handle/140.119/71496
題名: | Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model | 其他題名: | 房價指數與股價指數的波動性差異及不對稱相關:門檻波動性與共整合模型實證分析 | 作者: | 陳明吉 Tsai, I-Chun;Ming-Chi Chen |
貢獻者: | 財管系 | 關鍵詞: | 房價;股價指數;不對稱;波動性;門檻共整合 House prices;Stock market index;Wealth effect;Threshold;Cointegration |
日期: | 2013 | 上傳時間: | 14-Nov-2014 | 摘要: | This study proposes that asymmetric reactions of the stock and housing markets will result in asymmetric relationship between the two markets. This study uses the Taiwan Weighted Stock Index and housing price index of Taipei city for empirical analysis. The results show that a threshold existed in the equilibrium relationship between the two indexes. Further, we employ the threshold vector error correction model (VECM) proposed by Hansen and Seo (2002) for estimation. The results show that the adjustment behavior of housing price index is indeed more significant when it is revised upward. | 關聯: | Journal of Financial Studies, 21(4), 25-58 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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