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題名 住宅新推個案市場價量關係之分析
The relation between housing price and trading volume
作者 羅于婷
貢獻者 張金鶚
羅于婷
關鍵詞 住宅空間次市場
Granger因果檢定
價量關係
波及效果
日期 2009
上傳時間 3-Sep-2013 14:51:01 (UTC+8)
摘要 價量關係研究於金融市場甚豐，然於台灣之住宅新推個案市場則相當匱乏，因此本研究關注台灣住宅新推個案市場之價量關係，考量住宅空間次市場差異，區分為內部關係─價量關係，以及外部關係─價／量波及效果。研究以全國及五大都會區為（台北市、台北縣、桃竹地區、台中都會區及南高都會區）為空間範圍；1996年第1季至2009第4季之可能成交價、成交量資料，運用時間序列分析方法，釐清住宅空間次市場內部之價量關係是否存在差異，以及次市場間成交價／量是否存在相互影響的效果，以提供預測市場價量趨勢之參考。
研究結果顯示台北市之成交量領先成交價3期，價量交互影響程度較其他地區大，可知台北市住宅市場之成交量變動在住宅市場趨勢預測中更為關鍵；南高都會區之價量存在共整合關係，表示價量調整具長期均衡，背離程度有限；台北縣、桃竹地區及台中都會之價量則無明顯領先落後關係，價量關係相對薄弱。波及效果之研究結果顯示成交價之波及效果主要由台北都會區擴散至其他都會區，影響方向為單向且範圍較大；成交量則以相對鄰近之都會區為影響範圍，影響主要為雙向，但範圍較小。本研究認為台灣住宅市場過度關注價格訊息，然而更應重視成交量變化的掌握，並關注住宅空間次市場基本結構之差異，避免使消息面造成的過度預期成為主導市場的力量。
There are numerous researches in stock markets and finance, but few in Taiwan newly construction and pre-sale housing markets. Using the Cathay Real Estate Index Quarterly Reports for the period 1996-2009 and applying Granger causality test, the thesis examines price and volume relationship in five metropolises (Taipei City, Taipei County, Taoyuan-Hsinchu, Taichung Metropolis and Tainan-Kaohsiung) in Taiwan. And with the concern of the differences of housing submarkets, the price and volume relationship is classified as intra-relationship and inter-relationship. The former is price and volume relationship in a certain metropolis, the later is the ripple effects of housing price or trading volume between metropolises.
The result of intra-relationship shows that housing price Granger-cause the trading volume in Taipei city. That is, volume provides useful information to predict future price. And there is a long-run relationship in Tainan-Kaohsiung metropolis. From the aspect of inter-relationship, housing price changes first in Taipei City and Taipei County; trading volumes have mutual ripple effect between two neighboring metropolises. The results of the research are useful for housing market participants: We should keep an eye on the changes of trading volume. Also the structure of the submarket is fundamental to form the investment strategies.
參考文獻 白金安、張金鶚，1995，「國內預售屋訂價模式之探討」，『國家科學委員會研究彙刊：人文及社會科學』，5（1）：29-44。
林英彥，1981，「土地經濟學通論」，台北：文笙書局。
林秋瑾，1996，「台灣區域性住宅價格模式之建立」，『政大地政學報』，1（1）：29-49。
林秋瑾，1998，「預售屋與成屋住宅價格關係之分析─市場效率之驗證」，『管理學報』，15（4）:643-664。
花敬群、張金鶚，1997，「住宅市場價量波動之研究」，『住宅學報』，中華民國住宅學會。
花敬群，1999，「住宅空間次市場價格與規模之關係」，『住宅學報』，中華民國住宅學會。
張金鶚，2003，「房地產投資與市場分析：理論與實務」，台北市：華泰書局。
Beaver, W. H., 1968, “The Information Content of Annual Earnings Announcements Empirical Research in Accounting: Selected Studies.” Supplement to Journal of Accounting Research, 6:67-92.
Berkovec, J. A. and J. L. Goodman, 1996, “Turnover as A Measure of Demand of Existing Homes.” Real Estate Economics, 24(4):421-440.
Blume, L., D. Easley and M. O’hara, 1994, “Market Statistics and Technical Analysis: The Role of Volume.” The Journal of Finance, 49(1), 153-181.
Brown, J. H., D. K. Crocker, and S. R. Foerster, 2009, “Trading Volume and Stock Investment.” Financial Analysis Journal, 65:67-84.
Case, K. E., and R. J. Shiller, 1989, “The Efficiency of the Market for Single-family homes.” American Economic Review, 79:125-137.
Clapp, J. M. and D. Tirtiroglu, 1994, “Positive Feedback Trading and Diffusion of Asset Price Changes: Evidence from Housing Transaction.” Journal of Economics Behavior and Organization, 24(3): 337-355.
Clark, P.K., 1973, “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41:135-155.
Copeland, T. E, 1976, “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” Journal of Finance, 31:1149-1168.
Fama, E. F., 1970a, “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, 25:383-420.
─, E. F., 1970b, “Efficient Capital Markets: Ⅱ.” Journal of Finance, 46:1575-1617.
Foster, G., 1973, “Stock Market Reaction to Estimates if Earning per Share by Company Officials.” Journal of Accounting Research, 11:25-37.
Gallant, A. R., P. E. Rossi, and G. Tauchen, 1992, “Stock Prices and Volume.” The Review of Financial Studies, 5:199-242.
Gatzpaff, D. H. and D. Tirtiroglu, 1995, “Real Estate Market Efficiency: Issue and Evidence.” Journal of Real Estate Literature, 3:157-189.
Genesove, D. and C. Mayer, 2001, ”Loss Aversion and Seller Behavior: Evidence From the Housing Market.” The Quarterly Journal of Economics, 1233-1260.
Green, G. H., D. Marx., and M. Essayyad, 1988, “The Effect of Inter-Regional Efficiency on Appraising Single Family Homes.” The Real Estate Appraiser and Analyst, 54:25-29.
Harris, M., and A. Raviv, 1993, “Difference of Opinion Makes a Horse Race.”Review of Financial Studies, 6:473-506.
Hort, K., 2000, “Prices and Turnover in the Market for Owner-occupied homes.” Regional Science and Urban Economics, 30:99-119.
Jennnings, R. H., and C. Barry, 1983, “Information Dissemination and Portfolio Choice.” Journal of Banking and Finance, 26:51-78.
Karpoff, J. M., 1987, “The Relation Between Price Changes and Trading Volume: A Survey.” Journal of Finance and Quantitative Analysis, 22(1):109-126.
Leung, K. Y., C. K.,Lau and C. F. Leong, 2002, “Testing Alternative Theories of the Property Price- Trading Volume Correlation.”The Journal of Real Estate Research, 23(3):253-263.
Maclennan, D., and Y. Tu, 1994, “Economic Perspectives on the Structure of Local Housing Systems.” Housing Studies, 11(3):387-406.
Meen, G., 1996, "Spatial Aggregation, Spatial Dependence and Predictability in the UK Housing Market." Housing studies, 11(3): 345-372.
Meen, G., 1996, "Regional House Prices and the Ripple Effect: A New Interpretation." Housing studies, 14(6): 733-753.
Megbolugbe, I. F., A. P. Marks, and M. B. Schwartz, 1991, “The Economic Theory of Housing Demand: A Critical Review.” Journal of Real Estate Research, 6(3):381-393.
Morgan, I, G., 1976, “Stock Prices and Heteroskedasticity.” Journal of Business, 49:496-508.
Pinfold, J. and M. Qiu, 2008, “Price and Trading Volume Reactions to Index Constitution Changes, the Australian Evidence.” Managerial Finance, 34:53-69.
Pollakowski, H. O. and T. S. Ray, 1997. "Housing price diffusion patterns at different aggregation levels: an examination of housing market efficiency." Journal of Housing Research, 8(1):107-124.
Pratt, J., D. A. Wise, and R. Zeckhauser, 1979, “Price Differences in Almost Competitive Market. Quarterly Journal of Economics, 93(2):189-211.
Richardson, G., S. E. Sefcik, and R. Thompson, 1987, “A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy.” Journal of Financial Economics, 17:313-333.
Smith, L.B., K. T. Rosen, and G. Fallis, 1988, “Recent Developments in Economic Models of Housing Markets.” Journal of Economic Literature, 3:77-91.
Stein, J. C., 1995, “Prices and Trading Volume in the Housing Market: A Model with Down-payment Effects.” The Quarterly Journal of Economics, 349-406.
Stull, W.J., 1970, “Community Environment , Zoning, and the Market Value of Single Family Home.” Journal of Law and Ecomomic, 18:535-557.
Tirtirolu, D., 1992, "Efficiency in housing markets: Temporal and spatial dimensions." Journal of Housing Economics, 2(3): 276-292.
Lee, C., B. Swaminathan, 2000, "Price Momentum and Trading Volume." The Journal of Finance, 55(5):2017-2068.
Yiu,C. Y., E. C. M. Hui and S. K. Wong, 2005, “Lead-lag Relationship between the Real Estate Spot and Forward Contracts Markets.” Journal of Real Estate Portfolio Management, 11(3):253-262.
描述 碩士
國立政治大學
地政研究所
97257016
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097257016
資料類型 thesis
dc.contributor.advisor 張金鶚zh_TW
dc.contributor.author (Authors) 羅于婷zh_TW
dc.creator (作者) 羅于婷zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 3-Sep-2013 14:51:01 (UTC+8)-
dc.date.available 3-Sep-2013 14:51:01 (UTC+8)-
dc.date.issued (上傳時間) 3-Sep-2013 14:51:01 (UTC+8)-
dc.identifier (Other Identifiers) G0097257016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59816-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政研究所zh_TW
dc.description (描述) 97257016zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 價量關係研究於金融市場甚豐，然於台灣之住宅新推個案市場則相當匱乏，因此本研究關注台灣住宅新推個案市場之價量關係，考量住宅空間次市場差異，區分為內部關係─價量關係，以及外部關係─價／量波及效果。研究以全國及五大都會區為（台北市、台北縣、桃竹地區、台中都會區及南高都會區）為空間範圍；1996年第1季至2009第4季之可能成交價、成交量資料，運用時間序列分析方法，釐清住宅空間次市場內部之價量關係是否存在差異，以及次市場間成交價／量是否存在相互影響的效果，以提供預測市場價量趨勢之參考。
研究結果顯示台北市之成交量領先成交價3期，價量交互影響程度較其他地區大，可知台北市住宅市場之成交量變動在住宅市場趨勢預測中更為關鍵；南高都會區之價量存在共整合關係，表示價量調整具長期均衡，背離程度有限；台北縣、桃竹地區及台中都會之價量則無明顯領先落後關係，價量關係相對薄弱。波及效果之研究結果顯示成交價之波及效果主要由台北都會區擴散至其他都會區，影響方向為單向且範圍較大；成交量則以相對鄰近之都會區為影響範圍，影響主要為雙向，但範圍較小。本研究認為台灣住宅市場過度關注價格訊息，然而更應重視成交量變化的掌握，並關注住宅空間次市場基本結構之差異，避免使消息面造成的過度預期成為主導市場的力量。		zh_TW
dc.description.abstract (摘要) There are numerous researches in stock markets and finance, but few in Taiwan newly construction and pre-sale housing markets. Using the Cathay Real Estate Index Quarterly Reports for the period 1996-2009 and applying Granger causality test, the thesis examines price and volume relationship in five metropolises (Taipei City, Taipei County, Taoyuan-Hsinchu, Taichung Metropolis and Tainan-Kaohsiung) in Taiwan. And with the concern of the differences of housing submarkets, the price and volume relationship is classified as intra-relationship and inter-relationship. The former is price and volume relationship in a certain metropolis, the later is the ripple effects of housing price or trading volume between metropolises.
The result of intra-relationship shows that housing price Granger-cause the trading volume in Taipei city. That is, volume provides useful information to predict future price. And there is a long-run relationship in Tainan-Kaohsiung metropolis. From the aspect of inter-relationship, housing price changes first in Taipei City and Taipei County; trading volumes have mutual ripple effect between two neighboring metropolises. The results of the research are useful for housing market participants: We should keep an eye on the changes of trading volume. Also the structure of the submarket is fundamental to form the investment strategies.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題與研究方法 3
第三節 名詞定義與研究範圍 5
第四節 研究架構與流程 7
第二章 文獻回顧 9
第一節 住宅次市場 9
第二節 價量關係相關理論 12
第三節 波及效果 15
第四節 小結 17
第三章 研究設計 19
第一節 時間序列分析方法 19
第二節 資料說明 23
第三節 敘述統計 24
第四節 單根檢定 29
第四章 實證模型與實證結果 30
第一節 價量關係實證分析 30
第二節 波及效果實證分析 38
第五章 結論與建議 42
參考文獻　 45
附錄 49		zh_TW
dc.format.extent 1383783 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097257016en_US
dc.subject (關鍵詞) 住宅空間次市場zh_TW
dc.subject (關鍵詞) Granger因果檢定zh_TW
dc.subject (關鍵詞) 價量關係zh_TW
dc.subject (關鍵詞) 波及效果zh_TW
dc.title (題名) 住宅新推個案市場價量關係之分析zh_TW
dc.title (題名) The relation between housing price and trading volumeen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 白金安、張金鶚，1995，「國內預售屋訂價模式之探討」，『國家科學委員會研究彙刊：人文及社會科學』，5（1）：29-44。
林英彥，1981，「土地經濟學通論」，台北：文笙書局。
林秋瑾，1996，「台灣區域性住宅價格模式之建立」，『政大地政學報』，1（1）：29-49。
林秋瑾，1998，「預售屋與成屋住宅價格關係之分析─市場效率之驗證」，『管理學報』，15（4）:643-664。
花敬群、張金鶚，1997，「住宅市場價量波動之研究」，『住宅學報』，中華民國住宅學會。
花敬群，1999，「住宅空間次市場價格與規模之關係」，『住宅學報』，中華民國住宅學會。
張金鶚，2003，「房地產投資與市場分析：理論與實務」，台北市：華泰書局。
Beaver, W. H., 1968, “The Information Content of Annual Earnings Announcements Empirical Research in Accounting: Selected Studies.” Supplement to Journal of Accounting Research, 6:67-92.
Berkovec, J. A. and J. L. Goodman, 1996, “Turnover as A Measure of Demand of Existing Homes.” Real Estate Economics, 24(4):421-440.
Blume, L., D. Easley and M. O’hara, 1994, “Market Statistics and Technical Analysis: The Role of Volume.” The Journal of Finance, 49(1), 153-181.
Brown, J. H., D. K. Crocker, and S. R. Foerster, 2009, “Trading Volume and Stock Investment.” Financial Analysis Journal, 65:67-84.
Case, K. E., and R. J. Shiller, 1989, “The Efficiency of the Market for Single-family homes.” American Economic Review, 79:125-137.
Clapp, J. M. and D. Tirtiroglu, 1994, “Positive Feedback Trading and Diffusion of Asset Price Changes: Evidence from Housing Transaction.” Journal of Economics Behavior and Organization, 24(3): 337-355.
Clark, P.K., 1973, “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41:135-155.
Copeland, T. E, 1976, “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” Journal of Finance, 31:1149-1168.
Fama, E. F., 1970a, “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, 25:383-420.
─, E. F., 1970b, “Efficient Capital Markets: Ⅱ.” Journal of Finance, 46:1575-1617.
Foster, G., 1973, “Stock Market Reaction to Estimates if Earning per Share by Company Officials.” Journal of Accounting Research, 11:25-37.
Gallant, A. R., P. E. Rossi, and G. Tauchen, 1992, “Stock Prices and Volume.” The Review of Financial Studies, 5:199-242.
Gatzpaff, D. H. and D. Tirtiroglu, 1995, “Real Estate Market Efficiency: Issue and Evidence.” Journal of Real Estate Literature, 3:157-189.
Genesove, D. and C. Mayer, 2001, ”Loss Aversion and Seller Behavior: Evidence From the Housing Market.” The Quarterly Journal of Economics, 1233-1260.
Green, G. H., D. Marx., and M. Essayyad, 1988, “The Effect of Inter-Regional Efficiency on Appraising Single Family Homes.” The Real Estate Appraiser and Analyst, 54:25-29.
Harris, M., and A. Raviv, 1993, “Difference of Opinion Makes a Horse Race.”Review of Financial Studies, 6:473-506.
Hort, K., 2000, “Prices and Turnover in the Market for Owner-occupied homes.” Regional Science and Urban Economics, 30:99-119.
Jennnings, R. H., and C. Barry, 1983, “Information Dissemination and Portfolio Choice.” Journal of Banking and Finance, 26:51-78.
Karpoff, J. M., 1987, “The Relation Between Price Changes and Trading Volume: A Survey.” Journal of Finance and Quantitative Analysis, 22(1):109-126.
Leung, K. Y., C. K.,Lau and C. F. Leong, 2002, “Testing Alternative Theories of the Property Price- Trading Volume Correlation.”The Journal of Real Estate Research, 23(3):253-263.
Maclennan, D., and Y. Tu, 1994, “Economic Perspectives on the Structure of Local Housing Systems.” Housing Studies, 11(3):387-406.
Meen, G., 1996, "Spatial Aggregation, Spatial Dependence and Predictability in the UK Housing Market." Housing studies, 11(3): 345-372.
Meen, G., 1996, "Regional House Prices and the Ripple Effect: A New Interpretation." Housing studies, 14(6): 733-753.
Megbolugbe, I. F., A. P. Marks, and M. B. Schwartz, 1991, “The Economic Theory of Housing Demand: A Critical Review.” Journal of Real Estate Research, 6(3):381-393.
Morgan, I, G., 1976, “Stock Prices and Heteroskedasticity.” Journal of Business, 49:496-508.
Pinfold, J. and M. Qiu, 2008, “Price and Trading Volume Reactions to Index Constitution Changes, the Australian Evidence.” Managerial Finance, 34:53-69.
Pollakowski, H. O. and T. S. Ray, 1997. "Housing price diffusion patterns at different aggregation levels: an examination of housing market efficiency." Journal of Housing Research, 8(1):107-124.
Pratt, J., D. A. Wise, and R. Zeckhauser, 1979, “Price Differences in Almost Competitive Market. Quarterly Journal of Economics, 93(2):189-211.
Richardson, G., S. E. Sefcik, and R. Thompson, 1987, “A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy.” Journal of Financial Economics, 17:313-333.
Smith, L.B., K. T. Rosen, and G. Fallis, 1988, “Recent Developments in Economic Models of Housing Markets.” Journal of Economic Literature, 3:77-91.
Stein, J. C., 1995, “Prices and Trading Volume in the Housing Market: A Model with Down-payment Effects.” The Quarterly Journal of Economics, 349-406.
Stull, W.J., 1970, “Community Environment , Zoning, and the Market Value of Single Family Home.” Journal of Law and Ecomomic, 18:535-557.
Tirtirolu, D., 1992, "Efficiency in housing markets: Temporal and spatial dimensions." Journal of Housing Economics, 2(3): 276-292.
Lee, C., B. Swaminathan, 2000, "Price Momentum and Trading Volume." The Journal of Finance, 55(5):2017-2068.
Yiu,C. Y., E. C. M. Hui and S. K. Wong, 2005, “Lead-lag Relationship between the Real Estate Spot and Forward Contracts Markets.” Journal of Real Estate Portfolio Management, 11(3):253-262.		zh_TW