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題名 不動產情緒指數與房市之關聯性
The relationship between sentiment and real estate market作者 蘇子涵
Su, Tzu-Han貢獻者 陳明吉
蘇子涵
Su, Tzu-Han關鍵詞 房地產市場
情緒指數
主成份法
交易量
議價空間
流動天數
Real estate market
sentiment
Principal component method
Trading volume
Price concessions
Time on the market日期 2019 上傳時間 7-Aug-2019 16:04:26 (UTC+8) 摘要 房屋擁有投資與消費雙重特性，再加上不動產市場的低流動性以及高交易成本均導致房價不能像股票價格一樣快速反應信息的變化，種種不動產市場的特性以及套利限制使其更容易受到情緒的影響。因此本研究採用直接測量及間接測量兩種方法編制不動產情緒指數，直接測量方面是使用2008年到2017年的住宅需求動向問卷調查資料來編制情緒指數。間接測量方面則是使用2007年到2017年市場上的交易資料，並採用主成份分析法來組成情緒指數。本研究主要探討不動產情緒指數與房地產市場因子之關係，房市因子包含房價、交易量、議價空間與流動天數。研究結果顯示直接測量情緒指數顯著影響房價、交易量以及流動天數。直接測量情緒指數與房價呈顯著的正相關，證實購屋者情緒的上漲會伴隨較高的房價變化率，且會使賣屋人尋求更好的售屋時機，從而拉長流動天數並降低交易量。同時未來情緒指數可提前一季反映不動產市場的改變，可視為房價的領先指標。間接測量方面，兩種不同代理變數組成的間接情緒皆與房價指數變化率呈正相關，且與議價空間呈顯著負相關。意味著購屋者情緒的上漲會影響房價的提升，並使購屋者在交易雙方的立場趨於弱勢，使其議價空間縮小。另外間接測量編制方法一的組成方式較編制方法二良好，編制方法一所採用的代理變數較能良好的捕捉市場購屋者情緒。
Housing has the dual characteristics of both investment and consumption, coupled with the low liquidity and high transaction costs in the housing market, housing prices cannot respond to changes in information as quickly as stock prices. The characteristics and restrictions of housing market make them more susceptible to sentiment. Therefore, our study used two methods, including direct measurement and indirect measurement to compile market sentiment. The direct measurement used the 2008-2017 housing demand surveys’ questionnaire data to compile the market sentiment. As for the indirect measurement, we used the 2007-2017 transaction data from many market and applied principal component analysis method to form the market sentiment. This study mainly discussed the relationship between housing market sentiment and housing market, including house price, trading volume, price concessions and time on the market. The results showed that the direct measurement of the sentiment significantly affects house prices, trading volume and time on the market. It significantly and positively correlated with house prices, confirming that the increase in home buyers` sentiment will be accompanied by high future housing price, and will allow sellers to seek better time to sell, thus lengthening time on the market and reducing trading volume. In addition, future sentiment can reflect the changes in the real estate market one quarter ahead of time, which can be regarded as a leading indicator of house prices and time on the market. In terms of indirect measurement, both indirect sentiments are positively correlated with house price index and have a significant negative correlation with bargaining space. This means that higher sentiment will affect the increase in house prices, and weaken the buyers` bargaining power in the trading, leading to the reduction in price concessions. In addition, the indirect measurement composition method 1 is better than the composition method 2, the proxy variable used in method 1 can better capture the mood of market buyers.參考文獻 中文參考文獻吳森田 (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.周賓凰, et al. (2007). "投資人情緒與股票報酬互動關係." 證券市場發展季刊, 第十九卷第二期: 153-190.林哲鵬 and 李春安 (2012). "與葉智丞 (2012),“投資人情緒與價格動能之關聯性,”《 管理與系統》, 19, 729–759." Lin, Che-Peng, Chun-An Li, and Chih-Cheng Yeh: 729-759.張梅英 (1992). 台灣地區都市地價變動分析, 經社法制論叢.許湧澤 (1995). 台北市房價與台灣股價相關性之研究—Granger 模式之應用, 交 通大學管理科學研究所碩士論文.蔡怡純, & 陳明吉. (2004). 台北地區住宅市場結構性轉變與價格均衡調整. 都市與計劃, 31(4), 365-390.羅國男 (1990). "台灣房地產景氣與股價關係性之研究." 國立中興大學企業管理研究所碩士論文英文參考文獻Asabere, P. K. and F. E. Huffman (1993). "Price concessions, time on the market, and the actual sale price of homes." The Journal of Real Estate Finance and Economics 6(2): 167-174.Baker, M. and J. Wurgler (2006). "Investor sentiment and the cross‐section of stock returns." The journal of finance 61(4): 1645-1680.Baker, M. and J. Wurgler (2007). "Investor sentiment in the stock market." Journal of economic perspectives 21(2): 129-152.Barber, B. M., et al. (2006). Do noise traders move markets? EFA 2006 Zurich meetings paper.Black, F. (1986). "Noise." The journal of finance 41(3): 528-543.Brown, G. W. and M. T. Cliff (2004). "Investor sentiment and the near-term stock market." Journal of empirical finance 11(1): 1-27.Case, K. E. and R. J. Shiller (1990). "Forecasting prices and excess returns in the housing market." Real Estate Economics 18(3): 253-273.Charoenrook, A. (2005). "Does sentiment matter." Unpublished working paper. Vanderbilt University.Clayton, J., et al. (2009). "Commercial real estate valuation: fundamentals versus investor sentiment." The Journal of Real Estate Finance and Economics 38(1): 5-37.Chen, M. C. and Patel, K. (2002). An empirical analysis of determination of house prices in the Taipei area, Taiwan Economic Review, 30 (4): 563-595.Cutler, D. M., et al. (1991). "Speculative dynamics." The Review of Economic Studies 58(3): 529-546.Das, P. K., et al. (2015). "An investigation into sentiment-induced institutional trading behavior and asset pricing in the REIT market." The Journal of Real Estate Finance and Economics 51(2): 160-189.De Bondt, W. F. and R. Thaler (1985). "Does the stock market overreact?" The journal of finance 40(3): 793-805.De Long, J. B., et al. (1990). "Noise trader risk in financial markets." Journal of political Economy 98(4): 703-738.Fang, J., et al. (2014). "Technical market indicators: An overview." Journal of Behavioral and Experimental Finance 4: 25-56.Fisher, K. L. and M. Statman (2000). "Investor sentiment and stock returns." Financial Analysts Journal 56(2): 16-23.Freybote, J. (2016). "Real estate sentiment as information for REIT bond pricing." Journal of Property Research 33(1): 18-36.Gallimore, P. and A. Gray (2002). "The role of investor sentiment in property investment decisions." Journal of Property Research 19(2): 111-120.Gyourko, J. and D. B. Keim (1992). "What does the stock market tell us about real estate returns?" Real Estate Economics 20(3): 457-485.Hirshleifer, D. and T. Shumway (2003). "Good day sunshine: Stock returns and the weather." The journal of finance 58(3): 1009-1032.Hott, C. and P. Monnin (2008). "Fundamental real estate prices: An empirical estimation with international data." The Journal of Real Estate Finance and Economics 36(4): 427-450.Hui, E. C.-m. and Z. Wang (2014). "Market sentiment in private housing market." Habitat international 44: 375-385.Hui, E. C. M., et al. (2017). "How does sentiment affect returns of urban housing?" Habitat international 64: 71-84.Kahneman, D., et al. (1986). "Fairness as a constraint on profit seeking: Entitlements in the market." The American economic review: 728-741.Kahneman, D. and M. W. Riepe (1998). "Aspects of investor psychology." Journal of portfolio management 24(4): 52-+.Kahneman, D. and A. Tversky (2013). Prospect theory: An analysis of decision under risk. Handbook of the fundamentals of financial decision making: Part I, World Scientific: 99-127.Kapopoulos*, P. and F. Siokis (2005). "Stock and real estate prices in Greece: wealth versus ‘credit-price’effect." Applied Economics Letters 12(2): 125-128.La Porta, R. (1996). "Expectations and the cross‐section of stock returns." The journal of finance 51(5): 1715-1742.Lin, C. Y., et al. (2009). "Investor sentiment and REIT returns." The Journal of Real Estate Finance and Economics 39(4): 450.Ling, D. C., et al. (2014). "Investor sentiment, limits to arbitrage and private market returns." Real Estate Economics 42(3): 531-577.Malmendier, U. and G. Tate (2005). "CEO overconfidence and corporate investment." The journal of finance 60(6): 2661-2700.Marcato, G. and A. Nanda (2016). "Information content and forecasting ability of sentiment indicators: case of real estate market." Journal of Real Estate Research 38(2): 165-203.Meen, G. P. (1990). The removal of mortgage market constraints and the implications foreconometric modelling of UK house prices, Oxford Bulletin Economics and Statistics, 52 (1):1-23Meen, G. P. (1993). The treatment of house prices in macroeconometric models: a comparison exercise. Great Britain, Department of the Environment, Housing and Urban Monitoring & Analysis.Miller, N. G. (1978). "Time on the market and selling price." Real Estate Economics 6(2): 164-174.Mullainathan, S. and R. H. Thaler (2000). Behavioral economics, National Bureau of Economic Research.Neal, R. and S. M. Wheatley (1998). "Do measures of investor sentiment predict returns?" Journal of Financial and Quantitative Analysis 33(4): 523-547.Nelson, C. R. and C. R. Plosser (1982). "Trends and random walks in macroeconmic time series: some evidence and implications." Journal of monetary economics 10(2): 139-162.Okunev, J., et al. (2002). "Relationships between Australian real estate and stock market prices—a case of market inefficiency." Journal of forecasting 21(3): 181-192.Shefrin, H. (2002). Beyond greed and fear: Understanding behavioral finance and the psychology of investing, Oxford University Press on Demand.Shefrin, H. M. and R. H. Thaler (1988). "The behavioral life‐cycle hypothesis." Economic inquiry 26(4): 609-643.Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance, OUP Oxford.Shleifer, A. and R. W. Vishny (1997). "The limits of arbitrage." The journal of finance 52(1): 35-55.Stein, J. C. (1995). "Prices and trading volume in the housing market: A model with down-payment effects." The Quarterly Journal of Economics 110(2): 379-406.Tsolacos, S. (2012). "The role of sentiment indicators for real estate market forecasting." Journal of European Real Estate Research 5(2): 109-120.Tversky, A. and D. Kahneman (1973). "Availability: A heuristic for judging frequency and probability." Cognitive psychology 5(2): 207-232.Wang, Z. and E. C.-m. Hui (2017). "Fundamentals and market sentiment in housing market." Housing, Theory and Society 34(1): 57-78.Zhou, Z.-g. (1997). "Forecasting sales and price for existing single-family homes: a VAR model with error correction." Journal of Real Estate Research 14(2): 155-167. 描述 碩士
國立政治大學
財務管理學系
106357019資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357019 資料類型 thesis dc.contributor.advisor 陳明吉 zh_TW dc.contributor.author (Authors) 蘇子涵 zh_TW dc.contributor.author (Authors) Su, Tzu-Han en_US dc.creator (作者) 蘇子涵 zh_TW dc.creator (作者) Su, Tzu-Han en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:04:26 (UTC+8) - dc.date.available 7-Aug-2019 16:04:26 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:04:26 (UTC+8) - dc.identifier (Other Identifiers) G0106357019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124697 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357019 zh_TW dc.description.abstract (摘要) 房屋擁有投資與消費雙重特性，再加上不動產市場的低流動性以及高交易成本均導致房價不能像股票價格一樣快速反應信息的變化，種種不動產市場的特性以及套利限制使其更容易受到情緒的影響。因此本研究採用直接測量及間接測量兩種方法編制不動產情緒指數，直接測量方面是使用2008年到2017年的住宅需求動向問卷調查資料來編制情緒指數。間接測量方面則是使用2007年到2017年市場上的交易資料，並採用主成份分析法來組成情緒指數。本研究主要探討不動產情緒指數與房地產市場因子之關係，房市因子包含房價、交易量、議價空間與流動天數。研究結果顯示直接測量情緒指數顯著影響房價、交易量以及流動天數。直接測量情緒指數與房價呈顯著的正相關，證實購屋者情緒的上漲會伴隨較高的房價變化率，且會使賣屋人尋求更好的售屋時機，從而拉長流動天數並降低交易量。同時未來情緒指數可提前一季反映不動產市場的改變，可視為房價的領先指標。間接測量方面，兩種不同代理變數組成的間接情緒皆與房價指數變化率呈正相關，且與議價空間呈顯著負相關。意味著購屋者情緒的上漲會影響房價的提升，並使購屋者在交易雙方的立場趨於弱勢，使其議價空間縮小。另外間接測量編制方法一的組成方式較編制方法二良好，編制方法一所採用的代理變數較能良好的捕捉市場購屋者情緒。 zh_TW dc.description.abstract (摘要) Housing has the dual characteristics of both investment and consumption, coupled with the low liquidity and high transaction costs in the housing market, housing prices cannot respond to changes in information as quickly as stock prices. The characteristics and restrictions of housing market make them more susceptible to sentiment. Therefore, our study used two methods, including direct measurement and indirect measurement to compile market sentiment. The direct measurement used the 2008-2017 housing demand surveys’ questionnaire data to compile the market sentiment. As for the indirect measurement, we used the 2007-2017 transaction data from many market and applied principal component analysis method to form the market sentiment. This study mainly discussed the relationship between housing market sentiment and housing market, including house price, trading volume, price concessions and time on the market. The results showed that the direct measurement of the sentiment significantly affects house prices, trading volume and time on the market. It significantly and positively correlated with house prices, confirming that the increase in home buyers` sentiment will be accompanied by high future housing price, and will allow sellers to seek better time to sell, thus lengthening time on the market and reducing trading volume. In addition, future sentiment can reflect the changes in the real estate market one quarter ahead of time, which can be regarded as a leading indicator of house prices and time on the market. In terms of indirect measurement, both indirect sentiments are positively correlated with house price index and have a significant negative correlation with bargaining space. This means that higher sentiment will affect the increase in house prices, and weaken the buyers` bargaining power in the trading, leading to the reduction in price concessions. In addition, the indirect measurement composition method 1 is better than the composition method 2, the proxy variable used in method 1 can better capture the mood of market buyers. en_US dc.description.tableofcontents 摘要 iAbstract ii表次 iv圖次 v第一章 緒論 1第一節 研究背景與動機 1第二章 文獻回顧 4第一節 行為經濟與財務理論 4第二節 金融市場之情緒指數研究 7第三節 不動產市場之情緒指數分析 9第四節 總體經濟對不動產市場之影響 12第三章 研究方法 14第一節 情緒指數回顧整理 14第二節 計算直接測量情緒指數 20第三節 計算間接測量情緒指數 22第四節 研究模型及流程 27第四章 資料與實證測試 34第一節 編制情緒指數 34第二節 敘述統計 38第三節 情緒指數與不動產市場之關係 40第四節 情緒指數對不動產市場之影響 47第五章 結論與建議 65第六章 參考文獻 69 zh_TW dc.format.extent 1558926 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357019 en_US dc.subject (關鍵詞) 房地產市場 zh_TW dc.subject (關鍵詞) 情緒指數 zh_TW dc.subject (關鍵詞) 主成份法 zh_TW dc.subject (關鍵詞) 交易量 zh_TW dc.subject (關鍵詞) 議價空間 zh_TW dc.subject (關鍵詞) 流動天數 zh_TW dc.subject (關鍵詞) Real estate market en_US dc.subject (關鍵詞) sentiment en_US dc.subject (關鍵詞) Principal component method en_US dc.subject (關鍵詞) Trading volume en_US dc.subject (關鍵詞) Price concessions en_US dc.subject (關鍵詞) Time on the market en_US dc.title (題名) 不動產情緒指數與房市之關聯性 zh_TW dc.title (題名) The relationship between sentiment and real estate market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻吳森田 (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.周賓凰, et al. (2007). "投資人情緒與股票報酬互動關係." 證券市場發展季刊, 第十九卷第二期: 153-190.林哲鵬 and 李春安 (2012). "與葉智丞 (2012),“投資人情緒與價格動能之關聯性,”《 管理與系統》, 19, 729–759." Lin, Che-Peng, Chun-An Li, and Chih-Cheng Yeh: 729-759.張梅英 (1992). 台灣地區都市地價變動分析, 經社法制論叢.許湧澤 (1995). 台北市房價與台灣股價相關性之研究—Granger 模式之應用, 交 通大學管理科學研究所碩士論文.蔡怡純, & 陳明吉. (2004). 台北地區住宅市場結構性轉變與價格均衡調整. 都市與計劃, 31(4), 365-390.羅國男 (1990). "台灣房地產景氣與股價關係性之研究." 國立中興大學企業管理研究所碩士論文英文參考文獻Asabere, P. K. and F. E. Huffman (1993). "Price concessions, time on the market, and the actual sale price of homes." The Journal of Real Estate Finance and Economics 6(2): 167-174.Baker, M. and J. Wurgler (2006). "Investor sentiment and the cross‐section of stock returns." The journal of finance 61(4): 1645-1680.Baker, M. and J. Wurgler (2007). "Investor sentiment in the stock market." Journal of economic perspectives 21(2): 129-152.Barber, B. M., et al. (2006). Do noise traders move markets? EFA 2006 Zurich meetings paper.Black, F. (1986). "Noise." The journal of finance 41(3): 528-543.Brown, G. W. and M. T. Cliff (2004). "Investor sentiment and the near-term stock market." Journal of empirical finance 11(1): 1-27.Case, K. E. and R. J. Shiller (1990). "Forecasting prices and excess returns in the housing market." Real Estate Economics 18(3): 253-273.Charoenrook, A. (2005). "Does sentiment matter." Unpublished working paper. Vanderbilt University.Clayton, J., et al. (2009). "Commercial real estate valuation: fundamentals versus investor sentiment." The Journal of Real Estate Finance and Economics 38(1): 5-37.Chen, M. C. and Patel, K. (2002). An empirical analysis of determination of house prices in the Taipei area, Taiwan Economic Review, 30 (4): 563-595.Cutler, D. M., et al. (1991). "Speculative dynamics." The Review of Economic Studies 58(3): 529-546.Das, P. K., et al. (2015). "An investigation into sentiment-induced institutional trading behavior and asset pricing in the REIT market." The Journal of Real Estate Finance and Economics 51(2): 160-189.De Bondt, W. F. and R. Thaler (1985). "Does the stock market overreact?" The journal of finance 40(3): 793-805.De Long, J. B., et al. (1990). "Noise trader risk in financial markets." Journal of political Economy 98(4): 703-738.Fang, J., et al. (2014). "Technical market indicators: An overview." Journal of Behavioral and Experimental Finance 4: 25-56.Fisher, K. L. and M. Statman (2000). "Investor sentiment and stock returns." Financial Analysts Journal 56(2): 16-23.Freybote, J. (2016). "Real estate sentiment as information for REIT bond pricing." Journal of Property Research 33(1): 18-36.Gallimore, P. and A. Gray (2002). "The role of investor sentiment in property investment decisions." Journal of Property Research 19(2): 111-120.Gyourko, J. and D. B. Keim (1992). "What does the stock market tell us about real estate returns?" Real Estate Economics 20(3): 457-485.Hirshleifer, D. and T. Shumway (2003). "Good day sunshine: Stock returns and the weather." The journal of finance 58(3): 1009-1032.Hott, C. and P. Monnin (2008). "Fundamental real estate prices: An empirical estimation with international data." The Journal of Real Estate Finance and Economics 36(4): 427-450.Hui, E. C.-m. and Z. Wang (2014). "Market sentiment in private housing market." Habitat international 44: 375-385.Hui, E. C. M., et al. (2017). "How does sentiment affect returns of urban housing?" Habitat international 64: 71-84.Kahneman, D., et al. (1986). "Fairness as a constraint on profit seeking: Entitlements in the market." The American economic review: 728-741.Kahneman, D. and M. W. Riepe (1998). "Aspects of investor psychology." Journal of portfolio management 24(4): 52-+.Kahneman, D. and A. Tversky (2013). Prospect theory: An analysis of decision under risk. Handbook of the fundamentals of financial decision making: Part I, World Scientific: 99-127.Kapopoulos*, P. and F. Siokis (2005). "Stock and real estate prices in Greece: wealth versus ‘credit-price’effect." Applied Economics Letters 12(2): 125-128.La Porta, R. (1996). "Expectations and the cross‐section of stock returns." The journal of finance 51(5): 1715-1742.Lin, C. Y., et al. (2009). "Investor sentiment and REIT returns." The Journal of Real Estate Finance and Economics 39(4): 450.Ling, D. C., et al. (2014). "Investor sentiment, limits to arbitrage and private market returns." Real Estate Economics 42(3): 531-577.Malmendier, U. and G. Tate (2005). "CEO overconfidence and corporate investment." The journal of finance 60(6): 2661-2700.Marcato, G. and A. Nanda (2016). "Information content and forecasting ability of sentiment indicators: case of real estate market." Journal of Real Estate Research 38(2): 165-203.Meen, G. P. (1990). The removal of mortgage market constraints and the implications foreconometric modelling of UK house prices, Oxford Bulletin Economics and Statistics, 52 (1):1-23Meen, G. P. (1993). 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