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題名 台灣不動產市場季節效應之探討
Seasonal Effects on the Taiwanese Real Estate Market
作者 林庭萱
Lin, Ting Hsuan
貢獻者 陳明吉
Chen, Ming Chi
林庭萱
Lin, Ting Hsuan
關鍵詞 月份效應
節日效應
春節效應
鬼月效應
不動產市場
Monthly effect
Holiday effect
Chinese New Year effect
Ghost Month effect
Real estate market
日期 2016
上傳時間 1-Sep-2016 23:44:33 (UTC+8)
摘要   過去許多文獻實證顯示股票市場存在季節性效應,然而鮮少直接以不動產為標的進行季節性效應之分析,直觀上春節期間人們因忙於返鄉、祭祀等民俗活動無暇看屋,鬼月期間受制於傳統習俗而有購屋忌諱,種種因素不利房屋買氣;反觀春秋之際,坊間常聽到建商打出329檔期、928檔期來刺激房屋買氣,故推論季節性效應可能同樣存在於不動產市場。

  本研究探討此議題,使用1973~2015年台北地區的房市資料進行價與量之實證分析,除了以X-12-ARIMA方法萃取季節性因子觀察其變化以外,亦使用複迴歸模型進行月份效應之檢定,實證結果顯示不動產價格並未存在明顯的季節性效應,然而在不動產成交量的部份春節與鬼月期間顯著低於其他月份,另外由三月份的成交量高點可解釋329檔期確實刺激房市買氣,但928檔期則並未明顯拉抬成交量,由此可見不動產市場的季節效應主要反映在成交量而非價格,尤以民俗節氣帶來的影響最為明顯。
Numerous studies have indicated that seasonal effects exist in stock markets, but few have focused on real estate markets. Timing is a crucial factor affecting when people decide to buy houses. For example, during the Chinese New Year vacation, people typically return to their hometowns to perform prayer sacrifices and visit with friends and family, limiting their opportunities to view houses. People also avoid buying houses in the seventh lunar month, also known as the Ghost Month in Chinese culture, for fear of back luck. Unlike these aforementioned slack seasons, the March 29 and September 28 promotions are considered to be the high seasons in the Taiwanese real estate market. Therefore, we assumed that seasonal effects also exist in the Taiwanese real estate market.

This study investigated the historical data of house prices and trade volumes during 1973–2015 in the Taipei area. The empirical results achieved by using the X-12-ARIMA method and multiple regression model indicate that house prices in Taipei have no clear seasonality. However, variations in trade volumes are negatively affected by Chinese New Year and the Ghost Month, whereas trade volumes are positively affected by 329 promotions. In short, the seasonality of the Taiwanese real estate market is revealed through its trade volume rather than its price variations and is primarily influenced by the timing of traditional festivals.
參考文獻 Ahmad, Z., & Hussain, S. (2001). KLSE Long Run Overreaction and the Chinese New‐Year Effect. Journal of business finance & accounting, 28(1‐2), 63-105.
Bepari, M., & Mollik, A. T. (2009). Seasonalities in the monthly stock returns: Evidence from Bangladesh Dhaka Stock Exchange (DSE). International Research Journal of Finance and Economics, (24), 167-176.
Berges, A., McConnell, J., & Schlarbaum, G. G. (1984). The turn‐of‐the‐year in Canada. The Journal of Finance, 39(1), 185-192.
Chan, M. L., Khanthavit, A., & Thomas, H. (1996). Seasonality and cultural influences on four Asian stock markets. Asia Pacific Journal of Management, 13(2), 1-24.
Colwell, P. F., & Park, H. Y. (1990). Seasonality and size effects: The case of real-estate-related investment. The Journal of Real Estate Finance and Economics, 3(3), 251-259.
Connors, D. N., Jackman, M. L., Lamb, R. P., & Rosenberg, S. B. (2002). Calendar anomalies in the stock returns of real estate investment trusts. Briefings in Real Estate Finance, 2(1), 61-71.
Cornell, B. (1985). The weekly pattern in stock returns: Cash versus futures: A note. The journal of finance, 40(2), 583-588.
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
Fabozzi, F. J., Ma, C. K., & Briley, J. E. (1994). Holiday trading in futures markets. The Journal of Finance, 49(1), 307-324.
Findley, D. F., Monsell, B. C., Bell, W. R., Otto, M. C., & Chen, B. C. (1998). New capabilities and methods of the X-12-ARIMA seasonal-adjustment program. Journal of Business & Economic Statistics, 16(2), 127-152.
French, K. R. (1980). Stock returns and the weekend effect. Journal of financial economics, 8(1), 55-69.
Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
Guo, B., Luo, X., & Zhang, Z. (2014). Sell in May and Go Away: Evidence from China. Finance Research Letters, 11(4), 362-368.
Ho, Y. K. (1990). Stock return seasonalities in Asia Pacific markets. Journal of International Financial Management & Accounting, 2(1), 47-77.
Hui, E. C. M., Wright, J. A., & Yam, S. C. P. (2014). Calendar effects and real estate securities. The Journal of Real Estate Finance and Economics, 49(1), 91-115.
Kaplanski, G., & Levy, H. (2012). Real estate prices: An international study of seasonality`s sentiment effect. Journal of Empirical Finance, 19(1), 123-146.
Keim, Donald B. "Size-related anomalies and stock return seasonality: Further empirical evidence." Journal of financial economics 12.1 (1983): 13-32.
Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. The journal of finance, 39(3), 819-835.
Khaled, M. S., & Keef, S. P. (2012). Calendar anomalies in REITs: international evidence. Journal of Property Investment & Finance, 30(4), 375-388.
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403-425.
Raj, M., & Thurston, D. (1994). January or April? Tests of the turn–of–the–year effect in the New Zealand stock market. Applied Economics Letters, 1(5), 81-83.
Redman, A., Manakyan, H., & Liano, K. (2009). Real estate investment trusts and calendar anomalies. Journal of Real Estate Research.
Rozeff, M. S., & Kinney, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402.
Ziemba, W. T. (1991). Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects. Japan and the world Economy, 3(2), 119-146.
Wang, H. C., & Chao, F. C. (2013). The Empirical Test of Seasonality on the Real Estate Markets. Reform of Economic System, (1), 32-36.
Lin, T. C., & Cheng, Y. F. (2014). Factors of the Herding Behavior and Macro Economy on the Residential Real Estate Markets. Taiwan Journal of Applied Economics, (95), 61-100.
Chang, M. H. (2010). A Study of Affecting Factors on the Consumer Decision-making of House Purchasing.
描述 碩士
國立政治大學
財務管理研究所
103357036
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357036
資料類型 thesis
dc.contributor.advisor 陳明吉zh_TW
dc.contributor.advisor Chen, Ming Chien_US
dc.contributor.author (Authors) 林庭萱zh_TW
dc.contributor.author (Authors) Lin, Ting Hsuanen_US
dc.creator (作者) 林庭萱zh_TW
dc.creator (作者) Lin, Ting Hsuanen_US
dc.date (日期) 2016en_US
dc.date.accessioned 1-Sep-2016 23:44:33 (UTC+8)-
dc.date.available 1-Sep-2016 23:44:33 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2016 23:44:33 (UTC+8)-
dc.identifier (Other Identifiers) G0103357036en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/101072-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 103357036zh_TW
dc.description.abstract (摘要)   過去許多文獻實證顯示股票市場存在季節性效應,然而鮮少直接以不動產為標的進行季節性效應之分析,直觀上春節期間人們因忙於返鄉、祭祀等民俗活動無暇看屋,鬼月期間受制於傳統習俗而有購屋忌諱,種種因素不利房屋買氣;反觀春秋之際,坊間常聽到建商打出329檔期、928檔期來刺激房屋買氣,故推論季節性效應可能同樣存在於不動產市場。

  本研究探討此議題,使用1973~2015年台北地區的房市資料進行價與量之實證分析,除了以X-12-ARIMA方法萃取季節性因子觀察其變化以外,亦使用複迴歸模型進行月份效應之檢定,實證結果顯示不動產價格並未存在明顯的季節性效應,然而在不動產成交量的部份春節與鬼月期間顯著低於其他月份,另外由三月份的成交量高點可解釋329檔期確實刺激房市買氣,但928檔期則並未明顯拉抬成交量,由此可見不動產市場的季節效應主要反映在成交量而非價格,尤以民俗節氣帶來的影響最為明顯。
zh_TW
dc.description.abstract (摘要) Numerous studies have indicated that seasonal effects exist in stock markets, but few have focused on real estate markets. Timing is a crucial factor affecting when people decide to buy houses. For example, during the Chinese New Year vacation, people typically return to their hometowns to perform prayer sacrifices and visit with friends and family, limiting their opportunities to view houses. People also avoid buying houses in the seventh lunar month, also known as the Ghost Month in Chinese culture, for fear of back luck. Unlike these aforementioned slack seasons, the March 29 and September 28 promotions are considered to be the high seasons in the Taiwanese real estate market. Therefore, we assumed that seasonal effects also exist in the Taiwanese real estate market.

This study investigated the historical data of house prices and trade volumes during 1973–2015 in the Taipei area. The empirical results achieved by using the X-12-ARIMA method and multiple regression model indicate that house prices in Taipei have no clear seasonality. However, variations in trade volumes are negatively affected by Chinese New Year and the Ghost Month, whereas trade volumes are positively affected by 329 promotions. In short, the seasonality of the Taiwanese real estate market is revealed through its trade volume rather than its price variations and is primarily influenced by the timing of traditional festivals.
en_US
dc.description.tableofcontents 1. Introduction 1
1-1. Motivations 1
1-2. Objectives 2
1-3. Outlines 2

2. Literature Review 4
2-1. Monthly Effects on Stock Markets 4
2-2. Holiday Effects on Stock Markets 5
2-3. Seasonal Effects Related to Real Estate Markets 6
2-4. Factors Influencing House Purchase Timing in Taiwan 6
2-5. Summary of Seasonal Effects 7

3. Research Design 8
3-1. Methods 8
3-2. Hypotheses 8
3-3. Data sources 10

4. Methodology 14
4-1. X-12-ARIMA Method 14
4-2. Unit Root Test 16
4-3. Multiple Regression Model 17

5. Empirical Results 20
5-1. Analysis of Seasonal Fluctuation 20
5-1-1. Analysis of Price 20
5-1-2. Analysis of Volume 22
5-2. Test of Seasonal Effects 26
5-2-1. Analysis of Price 26
5-2-2. Analysis of Volume 28
5-3. Summary of Empirical Results 46

6. Conclusion 47

References 49
zh_TW
dc.format.extent 1083870 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357036en_US
dc.subject (關鍵詞) 月份效應zh_TW
dc.subject (關鍵詞) 節日效應zh_TW
dc.subject (關鍵詞) 春節效應zh_TW
dc.subject (關鍵詞) 鬼月效應zh_TW
dc.subject (關鍵詞) 不動產市場zh_TW
dc.subject (關鍵詞) Monthly effecten_US
dc.subject (關鍵詞) Holiday effecten_US
dc.subject (關鍵詞) Chinese New Year effecten_US
dc.subject (關鍵詞) Ghost Month effecten_US
dc.subject (關鍵詞) Real estate marketen_US
dc.title (題名) 台灣不動產市場季節效應之探討zh_TW
dc.title (題名) Seasonal Effects on the Taiwanese Real Estate Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ahmad, Z., & Hussain, S. (2001). KLSE Long Run Overreaction and the Chinese New‐Year Effect. Journal of business finance & accounting, 28(1‐2), 63-105.
Bepari, M., & Mollik, A. T. (2009). Seasonalities in the monthly stock returns: Evidence from Bangladesh Dhaka Stock Exchange (DSE). International Research Journal of Finance and Economics, (24), 167-176.
Berges, A., McConnell, J., & Schlarbaum, G. G. (1984). The turn‐of‐the‐year in Canada. The Journal of Finance, 39(1), 185-192.
Chan, M. L., Khanthavit, A., & Thomas, H. (1996). Seasonality and cultural influences on four Asian stock markets. Asia Pacific Journal of Management, 13(2), 1-24.
Colwell, P. F., & Park, H. Y. (1990). Seasonality and size effects: The case of real-estate-related investment. The Journal of Real Estate Finance and Economics, 3(3), 251-259.
Connors, D. N., Jackman, M. L., Lamb, R. P., & Rosenberg, S. B. (2002). Calendar anomalies in the stock returns of real estate investment trusts. Briefings in Real Estate Finance, 2(1), 61-71.
Cornell, B. (1985). The weekly pattern in stock returns: Cash versus futures: A note. The journal of finance, 40(2), 583-588.
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
Fabozzi, F. J., Ma, C. K., & Briley, J. E. (1994). Holiday trading in futures markets. The Journal of Finance, 49(1), 307-324.
Findley, D. F., Monsell, B. C., Bell, W. R., Otto, M. C., & Chen, B. C. (1998). New capabilities and methods of the X-12-ARIMA seasonal-adjustment program. Journal of Business & Economic Statistics, 16(2), 127-152.
French, K. R. (1980). Stock returns and the weekend effect. Journal of financial economics, 8(1), 55-69.
Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
Guo, B., Luo, X., & Zhang, Z. (2014). Sell in May and Go Away: Evidence from China. Finance Research Letters, 11(4), 362-368.
Ho, Y. K. (1990). Stock return seasonalities in Asia Pacific markets. Journal of International Financial Management & Accounting, 2(1), 47-77.
Hui, E. C. M., Wright, J. A., & Yam, S. C. P. (2014). Calendar effects and real estate securities. The Journal of Real Estate Finance and Economics, 49(1), 91-115.
Kaplanski, G., & Levy, H. (2012). Real estate prices: An international study of seasonality`s sentiment effect. Journal of Empirical Finance, 19(1), 123-146.
Keim, Donald B. "Size-related anomalies and stock return seasonality: Further empirical evidence." Journal of financial economics 12.1 (1983): 13-32.
Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. The journal of finance, 39(3), 819-835.
Khaled, M. S., & Keef, S. P. (2012). Calendar anomalies in REITs: international evidence. Journal of Property Investment & Finance, 30(4), 375-388.
Lakonishok, J., & Smidt, S. (1988). Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4), 403-425.
Raj, M., & Thurston, D. (1994). January or April? Tests of the turn–of–the–year effect in the New Zealand stock market. Applied Economics Letters, 1(5), 81-83.
Redman, A., Manakyan, H., & Liano, K. (2009). Real estate investment trusts and calendar anomalies. Journal of Real Estate Research.
Rozeff, M. S., & Kinney, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of financial economics, 3(4), 379-402.
Ziemba, W. T. (1991). Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects. Japan and the world Economy, 3(2), 119-146.
Wang, H. C., & Chao, F. C. (2013). The Empirical Test of Seasonality on the Real Estate Markets. Reform of Economic System, (1), 32-36.
Lin, T. C., & Cheng, Y. F. (2014). Factors of the Herding Behavior and Macro Economy on the Residential Real Estate Markets. Taiwan Journal of Applied Economics, (95), 61-100.
Chang, M. H. (2010). A Study of Affecting Factors on the Consumer Decision-making of House Purchasing.
zh_TW