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題名 新聞媒體情緒對於房價之影響
The effect of news media sentiment on housing price
作者 林筱真
貢獻者 林左裕
林筱真
關鍵詞 情緒分析
新聞情緒
房價
向量自我迴歸模型
Sentiment analysis
News media
Housing price
VAR model
日期 2017
上傳時間 28-Aug-2017 11:47:49 (UTC+8)
摘要 承如Shiller (1984)所述，市場投資者之行為會受到社會氛圍、潮流所影響，不動產市場受限於產品異質性與資訊不流通性，市場消息及情緒對於參與者預期與價格之影響更甚，而新聞作為不動產市場有限的資訊中公開且普及之資訊種類之一，對於市場情緒之影響不容小覷。過去亦有諸多研究指出新聞得以傳達或影響市場參與者之情緒，本研究嘗試以新聞進行情緒分析，將新聞情緒納入分析不動產市場之基礎，探討其與房價間之關係，補足過去研究建立在完全競爭市場假設、僅就基本面分析之不足。研究結果發現新聞情緒變數與市場參與者預期呈現中高程度之顯著正相關。此外，從向量自我迴歸模型結果亦發現前一期新聞情緒變數與房價間呈現正向顯著關聯，顯示前一期新聞媒體提及不動產市場時越樂觀，市場參與者對於市場景氣越看好，將進而投入市場造成未來房價上升。而透過格蘭傑因果關係檢定，本研究亦發現市場參與者情緒與新聞情緒間存在雙向因果關係，顯示新聞情緒確實將影響市場參與者預期，進而推升價格波動。可見透過新聞情緒不僅可補足過去總體經濟變數所無法解釋之市場意向，更可增加我們對於房地產市場之解釋、掌握能力。
Real estate market, with heterogeneity and lack of information, tends to be affected by market trend or sentiment. It is plausible that investors` behavior is influenced by social movements (Shiller，1984). The impact of news media, as one of open and widespread sources of market information, on market sentiment should not be underestimated. There are some studies exploring the relationship between news media and market sentiment. This paper attempts to measure the real estate market sentiment by quantifying the qualitative tone of news media, and provides evidence for its effect on housing price. The result shows that sentiment of news media is highly correlated with investors’ expectation, with statistically significant. Besides, through VAR model, this paper also finds that news sentiment of first lag had positive and significant influence on housing price, indicating that when news sentiment rises, investors are more optimistic about the real estate market, promoting housing demand and housing price growth. This study also finds that each of the news sentiment and market expectation Granger-causes the other. It suggests that news sentiment, capturing the market emotion that cannot be interpreted by fundamental variables, serves as a useful factor for quantifying investor expectation and predicting housing price.
參考文獻 中文文獻

吳森田，1994，「所得，貨幣與房價-近二十年台北地區的觀察」，『住宅學報』，2：49-65。
李政儒、游基鑫、陳信希，2012，「廣義知網詞彙意見極性的預測」，『中文計算語言學期刊』，17(2)：21-36。
李美杏、陳威廷、彭建文，2014，「亞洲城市房價基值與泡沫」，『都市與計劃』，41(2)：169-198。
林左裕、程于芳，2014，「影響不動產市場之從眾行為與總體經濟因素之研究」，『應用經濟論叢』，95：61-99。
林佑倫，2015，「房價變動對經濟成長及消費支出之影響」，國立政治大學地政系碩士論文：台北。
林秋瑾、王健安、張金鶚，1997，「房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討」，『人文及社會科學研究彙刊』，7(1)：35-56。
林秋瑾、黃佩玲，1995，「住宅價格與總體經濟變數關係之研究-以向量自我迴歸模式(VAR)進行實證」，『政大學報』，71：143-160。
洪淑娟、雷立芬，2010，「中古屋, 預售屋/新成屋房價與總體經濟變數互動關係之研究」， 『臺灣銀行季刊』，61(1)：155-167。
陳明吉，1989，「房地產價格及其變動因素之研究」，國立政治大學地政系碩士論文：台北。
游和正、黃挺豪、陳信希，2012，「領域相關詞彙極性分析及文件情緒分類之研究」，『中文計算語言學期刊』，17(4)：33-48。

英文文獻

Andrew, Mark, and Geoffrey Meen, 2003, “House Price Appreciation, Transactions and Structural Change in the British Housing Market: A Macroeconomic Perspective.”, Real Estate Economics, 31(1)：99-116.
Aoki, Kosuke, James Proudman, and Gertjan Vlieghe, 2004, “House Prices, Consumption, and Monetary Policy: a Financial Accelerator Approach.”, Journal of Financial Intermediation, 13(4)：414-435.
Baffoe-Bonnie, John, 1998, “The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis.", The Journal of Real Estate Finance and Economics, 17(2)：179-197.
Balduzzi, Pierluigi, Edwin J. Elton, and T. Clifton Green, 2001, “News and Bond Prices: Evidence from the U.S. Treasury Market.”, The Journal of Financial and Quantitative Analysis, 36(4)：523-543.
Campbell, John Y., and Joa˜o F. Cocco, 2007, “How do house prices affect consumption? Evidence from micro data.”, Journal of Monetary Economics, 54(3)：591-621.
Clayton, Jim, Norman Miller, and Liang Peng, 2010, “Price-volume Correlation in the Housing Market: Causality and Co-movements.”, The Journal of Real Estate Finance and Economics, 40(1)：14-40.
Cutler, David M., James M. Poterba, and Lawrence H. Summers, 1988, “What Moves Stock Prices?”, National Bureau of Economic Research Cambridge, Mass., USA.
Darrat, Ali F., and John L. Glascock, 1993, “On the Real Estate Market Efficiency.”, The Journal of Real Estate Finance and Economics, 7(1)：55-72.
Dickey, A David, and Wayne A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”, The Econometric Society, 49(4)：1057-1072.
Dougal, Casey, Joseph Engelberg, Diego Garc´ıa, and Christopher A. Parsons, 2012, “Journalists and the Stock Market.”, Review of Financial Studies, 25(3)：639-679.
Dyck Alexander, and Luigi Zingales, 2002, “The Bubble and the Media.”, The Journal of Finance, 68(3)：1267-1300.
Engelberg, Joseph, 2008, “Costly Information Processing: Evidence from Earnings Announcements.”, AFA 2009 San Francisco Meetings Paper.
Engle, Robert F., and Clive W. J. Granger, 1987, “Co-Integration and Error Correction: Representation, Estimation, and Testing.”, Econometrica, 55(2)：251-276.
Funke, Michael, and Michael Paetz, 2013, “Housing Prices and the Business Cycle: An Empirical Application to Hong Kong.”, Journal of Housing Economics, 22(1)：62-76.
Garcia, Diego, 2013, “Sentiment During Recessions.”, The Journal of Finance, 68(3)：1267-1300.
Granger, Clive W. J., 1969, “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.”, Econometrica, 37(3)：424-438.
Granger, Clive W. J., and Paul Newbold, 1974, “Experience with Forecasting Univariate Time Series and the Combination of Forecasts.”, Journal of the Royal Statistical Society, 137(2)：131-165.
Hoskins, Nicholas, David Higgins, and Richard Cardew, 2004, “Macroeconomic Variables and Real Estate Returns: An International Comparison.”, The Appraisal Journal, 72(2)：163-170.
Jin, Changha, and Paul Gallimore, 2012, “Newspaper Content and Home Prices: Perception, Reasoning and Affect.”, Journal of the Korea Real Estate Analysts Association, 18(2)：125-142.
Johansen, S., 1988, “Statistical Analysis of Cointegration Vectors.”, Journal of Economic Dynamics and Control, 12(2-3)：231-254.
Keynes, J.M., 1936, “The General Theory of Employment, Interest and Money.”, London：Macmillan.
Loughran Tim, and Bill Mcdonald, 2011, “When Is A Liability Not A Liability? Textual Analysis, Dictionaries, and 10-Ks.”, The Journal of Finance, 66(1): 35-65.
McCue, Thomas E., and John L. Kling, 1994, “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991.”, Journal of Real Estate Research, 9(3)：277-287.
McLaren, Nick, and Rachana Shanbhogue, 2011, “Using Internet Search Data as Economic Indicators.”, Bank of England Quarterly Bulletin, 2011Q2：134-140.
Mullainathan, Sendhil, and Andrei Shleifer, 2005, “The Market for News.”, American Economic Association, 95(4)：1031-1053.
Mutz, Diana C., and Joe Soss, 1997, “Reading Public Opinion: The Influence of News Coverage on Perceptions of Public Sentiment.”, The Public Opinion Quarterly, 61(3)：431-451.
Ortalo-Magné, François, and Sven Rady, 2006, “Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints.”, The Review of Economic Studies, 73(2)：459-485.
Phillips, Peter C. B. and Pierre Perron, 1988, “Testing for a unit root in time series regression.”, Biometrika, 75(2)：335-346.
Richards, Lyn, 2014, “Handling Qualitative Data: A Practical Guide.”, Sage.
Shiller, Robert J., 2005, “Irrational Exuberance.”, Princeton, NJ：Princeton University Press.
Shiller, Robert J., 2009, “Animal Spirits.”, Princeton, NJ：Princeton University Press.
Shiller, Robert J., Stanley Fischer, and Benjamin M. Friedman, 1984, “Stock Prices and Social Dynamics.”, Brookings Papers on Economic Activity, 1984(2)：457-510.
Soo, Cindy K., 2015, “Quantifying Animal Spirits: News Media and Sentiment in the Housing Market.”, Ross School of Business Paper.
Tetlock, Paul C., 2007, “Giving Content to Investor Sentiment: The Role of Media in the Stock Market.”, The Journal of Finance, 62(3): 1139-1168.
Tetlock, Paul C., 2011, “All the News That’s Fit to Reprint:Do Investors React to Stale Information?”, Review of Financial Studies, 24(5)：1481-1512.
Tetlock, Paul C., Maytal Saar-Tsechansky, and Sofus Macskassy, 2008, “More Than Words: Quantifying Language to Measure Firms’ Fundamentals.”, The Journal of Finance, 63(3)：1437-1467.
Yang, Heng-Li, and August F. Y. Chao, 2015, “Sentiment Analysis for Chinese Reviews of Movies in Multi-genre Based on Morpheme-based Features and Collocations.”, Information Systems Frontiers, 17(6)：1335–1352.
描述 碩士
國立政治大學
地政學系
104257006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104257006
資料類型 thesis
dc.contributor.advisor 林左裕zh_TW
dc.contributor.author (Authors) 林筱真zh_TW
dc.creator (作者) 林筱真zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 28-Aug-2017 11:47:49 (UTC+8)-
dc.date.available 28-Aug-2017 11:47:49 (UTC+8)-
dc.date.issued (上傳時間) 28-Aug-2017 11:47:49 (UTC+8)-
dc.identifier (Other Identifiers) G0104257006en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112224-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政學系zh_TW
dc.description (描述) 104257006zh_TW
dc.description.abstract (摘要) 承如Shiller (1984)所述，市場投資者之行為會受到社會氛圍、潮流所影響，不動產市場受限於產品異質性與資訊不流通性，市場消息及情緒對於參與者預期與價格之影響更甚，而新聞作為不動產市場有限的資訊中公開且普及之資訊種類之一，對於市場情緒之影響不容小覷。過去亦有諸多研究指出新聞得以傳達或影響市場參與者之情緒，本研究嘗試以新聞進行情緒分析，將新聞情緒納入分析不動產市場之基礎，探討其與房價間之關係，補足過去研究建立在完全競爭市場假設、僅就基本面分析之不足。研究結果發現新聞情緒變數與市場參與者預期呈現中高程度之顯著正相關。此外，從向量自我迴歸模型結果亦發現前一期新聞情緒變數與房價間呈現正向顯著關聯，顯示前一期新聞媒體提及不動產市場時越樂觀，市場參與者對於市場景氣越看好，將進而投入市場造成未來房價上升。而透過格蘭傑因果關係檢定，本研究亦發現市場參與者情緒與新聞情緒間存在雙向因果關係，顯示新聞情緒確實將影響市場參與者預期，進而推升價格波動。可見透過新聞情緒不僅可補足過去總體經濟變數所無法解釋之市場意向，更可增加我們對於房地產市場之解釋、掌握能力。zh_TW
dc.description.abstract (摘要) Real estate market, with heterogeneity and lack of information, tends to be affected by market trend or sentiment. It is plausible that investors` behavior is influenced by social movements (Shiller，1984). The impact of news media, as one of open and widespread sources of market information, on market sentiment should not be underestimated. There are some studies exploring the relationship between news media and market sentiment. This paper attempts to measure the real estate market sentiment by quantifying the qualitative tone of news media, and provides evidence for its effect on housing price. The result shows that sentiment of news media is highly correlated with investors’ expectation, with statistically significant. Besides, through VAR model, this paper also finds that news sentiment of first lag had positive and significant influence on housing price, indicating that when news sentiment rises, investors are more optimistic about the real estate market, promoting housing demand and housing price growth. This study also finds that each of the news sentiment and market expectation Granger-causes the other. It suggests that news sentiment, capturing the market emotion that cannot be interpreted by fundamental variables, serves as a useful factor for quantifying investor expectation and predicting housing price.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機 1
第二節 研究目的與限制 5
第三節 研究架構與流程 8
第二章 文獻回顧 11
第一節 新聞市場角色理論 11
第二節 情緒分析技術之研究 16
第三節 新聞情緒分析之應用 19
第四節 影響房價之總體經濟因素 22
第五節 小結 25
第三章 研究方法與研究設計 27
第一節 研究方法 27
第二節 變數選取與資料說明 37
第四章 實證結果分析 49
第一節 新聞情緒變數與市場參與者預期之關係 49
第二節 新聞情緒變數與房價之動態關聯 52
第三節 新聞情緒變數於市場之角色 63
第四節 小結 67
第五章 結論與建議 69
第一節 結論 69
第二節 建議 72
參考文獻 75		zh_TW
dc.format.extent 6203488 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104257006en_US
dc.subject (關鍵詞) 情緒分析zh_TW
dc.subject (關鍵詞) 新聞情緒zh_TW
dc.subject (關鍵詞) 房價zh_TW
dc.subject (關鍵詞) 向量自我迴歸模型zh_TW
dc.subject (關鍵詞) Sentiment analysisen_US
dc.subject (關鍵詞) News mediaen_US
dc.subject (關鍵詞) Housing priceen_US
dc.subject (關鍵詞) VAR modelen_US
dc.title (題名) 新聞媒體情緒對於房價之影響zh_TW
dc.title (題名) The effect of news media sentiment on housing priceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻

吳森田，1994，「所得，貨幣與房價-近二十年台北地區的觀察」，『住宅學報』，2：49-65。
李政儒、游基鑫、陳信希，2012，「廣義知網詞彙意見極性的預測」，『中文計算語言學期刊』，17(2)：21-36。
李美杏、陳威廷、彭建文，2014，「亞洲城市房價基值與泡沫」，『都市與計劃』，41(2)：169-198。
林左裕、程于芳，2014，「影響不動產市場之從眾行為與總體經濟因素之研究」，『應用經濟論叢』，95：61-99。
林佑倫，2015，「房價變動對經濟成長及消費支出之影響」，國立政治大學地政系碩士論文：台北。
林秋瑾、王健安、張金鶚，1997，「房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討」，『人文及社會科學研究彙刊』，7(1)：35-56。
林秋瑾、黃佩玲，1995，「住宅價格與總體經濟變數關係之研究-以向量自我迴歸模式(VAR)進行實證」，『政大學報』，71：143-160。
洪淑娟、雷立芬，2010，「中古屋, 預售屋/新成屋房價與總體經濟變數互動關係之研究」， 『臺灣銀行季刊』，61(1)：155-167。
陳明吉，1989，「房地產價格及其變動因素之研究」，國立政治大學地政系碩士論文：台北。
游和正、黃挺豪、陳信希，2012，「領域相關詞彙極性分析及文件情緒分類之研究」，『中文計算語言學期刊』，17(4)：33-48。

英文文獻

Andrew, Mark, and Geoffrey Meen, 2003, “House Price Appreciation, Transactions and Structural Change in the British Housing Market: A Macroeconomic Perspective.”, Real Estate Economics, 31(1)：99-116.
Aoki, Kosuke, James Proudman, and Gertjan Vlieghe, 2004, “House Prices, Consumption, and Monetary Policy: a Financial Accelerator Approach.”, Journal of Financial Intermediation, 13(4)：414-435.
Baffoe-Bonnie, John, 1998, “The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis.", The Journal of Real Estate Finance and Economics, 17(2)：179-197.
Balduzzi, Pierluigi, Edwin J. Elton, and T. Clifton Green, 2001, “News and Bond Prices: Evidence from the U.S. Treasury Market.”, The Journal of Financial and Quantitative Analysis, 36(4)：523-543.
Campbell, John Y., and Joa˜o F. Cocco, 2007, “How do house prices affect consumption? Evidence from micro data.”, Journal of Monetary Economics, 54(3)：591-621.
Clayton, Jim, Norman Miller, and Liang Peng, 2010, “Price-volume Correlation in the Housing Market: Causality and Co-movements.”, The Journal of Real Estate Finance and Economics, 40(1)：14-40.
Cutler, David M., James M. Poterba, and Lawrence H. Summers, 1988, “What Moves Stock Prices?”, National Bureau of Economic Research Cambridge, Mass., USA.
Darrat, Ali F., and John L. Glascock, 1993, “On the Real Estate Market Efficiency.”, The Journal of Real Estate Finance and Economics, 7(1)：55-72.
Dickey, A David, and Wayne A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”, The Econometric Society, 49(4)：1057-1072.
Dougal, Casey, Joseph Engelberg, Diego Garc´ıa, and Christopher A. Parsons, 2012, “Journalists and the Stock Market.”, Review of Financial Studies, 25(3)：639-679.
Dyck Alexander, and Luigi Zingales, 2002, “The Bubble and the Media.”, The Journal of Finance, 68(3)：1267-1300.
Engelberg, Joseph, 2008, “Costly Information Processing: Evidence from Earnings Announcements.”, AFA 2009 San Francisco Meetings Paper.
Engle, Robert F., and Clive W. J. Granger, 1987, “Co-Integration and Error Correction: Representation, Estimation, and Testing.”, Econometrica, 55(2)：251-276.
Funke, Michael, and Michael Paetz, 2013, “Housing Prices and the Business Cycle: An Empirical Application to Hong Kong.”, Journal of Housing Economics, 22(1)：62-76.
Garcia, Diego, 2013, “Sentiment During Recessions.”, The Journal of Finance, 68(3)：1267-1300.
Granger, Clive W. J., 1969, “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.”, Econometrica, 37(3)：424-438.
Granger, Clive W. J., and Paul Newbold, 1974, “Experience with Forecasting Univariate Time Series and the Combination of Forecasts.”, Journal of the Royal Statistical Society, 137(2)：131-165.
Hoskins, Nicholas, David Higgins, and Richard Cardew, 2004, “Macroeconomic Variables and Real Estate Returns: An International Comparison.”, The Appraisal Journal, 72(2)：163-170.
Jin, Changha, and Paul Gallimore, 2012, “Newspaper Content and Home Prices: Perception, Reasoning and Affect.”, Journal of the Korea Real Estate Analysts Association, 18(2)：125-142.
Johansen, S., 1988, “Statistical Analysis of Cointegration Vectors.”, Journal of Economic Dynamics and Control, 12(2-3)：231-254.
Keynes, J.M., 1936, “The General Theory of Employment, Interest and Money.”, London：Macmillan.
Loughran Tim, and Bill Mcdonald, 2011, “When Is A Liability Not A Liability? Textual Analysis, Dictionaries, and 10-Ks.”, The Journal of Finance, 66(1): 35-65.
McCue, Thomas E., and John L. Kling, 1994, “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991.”, Journal of Real Estate Research, 9(3)：277-287.
McLaren, Nick, and Rachana Shanbhogue, 2011, “Using Internet Search Data as Economic Indicators.”, Bank of England Quarterly Bulletin, 2011Q2：134-140.
Mullainathan, Sendhil, and Andrei Shleifer, 2005, “The Market for News.”, American Economic Association, 95(4)：1031-1053.
Mutz, Diana C., and Joe Soss, 1997, “Reading Public Opinion: The Influence of News Coverage on Perceptions of Public Sentiment.”, The Public Opinion Quarterly, 61(3)：431-451.
Ortalo-Magné, François, and Sven Rady, 2006, “Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints.”, The Review of Economic Studies, 73(2)：459-485.
Phillips, Peter C. B. and Pierre Perron, 1988, “Testing for a unit root in time series regression.”, Biometrika, 75(2)：335-346.
Richards, Lyn, 2014, “Handling Qualitative Data: A Practical Guide.”, Sage.
Shiller, Robert J., 2005, “Irrational Exuberance.”, Princeton, NJ：Princeton University Press.
Shiller, Robert J., 2009, “Animal Spirits.”, Princeton, NJ：Princeton University Press.
Shiller, Robert J., Stanley Fischer, and Benjamin M. Friedman, 1984, “Stock Prices and Social Dynamics.”, Brookings Papers on Economic Activity, 1984(2)：457-510.
Soo, Cindy K., 2015, “Quantifying Animal Spirits: News Media and Sentiment in the Housing Market.”, Ross School of Business Paper.
Tetlock, Paul C., 2007, “Giving Content to Investor Sentiment: The Role of Media in the Stock Market.”, The Journal of Finance, 62(3): 1139-1168.
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