預售屋與成屋住宅價格關係之分析---市場效率之驗證

Abstract

臺灣住宅市場的二大系統，一為中古屋（成屋）住宅市場，另一為預售屋住宅 市場。針對此二住宅市場之住宅價格變化一直為購屋消費者及房屋投資者所關心的。由於國 內預售屋住宅市場的預售制度之交易方式係約定於未來特定期間交貨之契約買賣型式，基本 上具有遠期交易與期貨之性質；相對的成屋買賣可視為現貨交易型式。在過去的研究中理論 上假設此二大住宅市場為無套利之效率住宅市場，並於無套利之均衡條件下探討價差之影響 因素。對於住宅市場效率之假設並未予以嚴謹的實證。因此基於無套利機會之是否存在？以 及零風險所形成之價差關係存在與否？遂成為在二大住宅市場之住宅價格變化之研究中我們 應澄清之課題。本文以共積及市場效率檢定方式檢定住宅市場，發現臺灣二大住宅市場與效 率市場不一致。

There are two house market systems in Taiwan--one is pre-sales house market; the other is existing house market. The assumption that house market efficiency, that is, agents are risk neutral and use available information rationally so that the pre-sales house price is an unbiased predictor of future existing house price, is a property often imposed in house pricing modeling in recent house research. Is it true that the efficiency exists among house markets? We use recent develops in the theory of conintegration to provide new methods of testing of housing markets. Ww find evidence inconsistent with efficiency between Taiwan house markets.