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題名 住宅市場從眾行為與總體經濟因素之研究
Macroeconomic Factors and the Herd Behavior in the Residential Real Estate Markets作者 程于芳
Cheng,yu fang貢獻者 林左裕
Lin,tsoyu calvin
程于芳
Cheng,yu fang關鍵詞 從眾行為
持有成本
交易量波動
自我迴歸分配落遲模型
herding
user cost of housing
transaction volatility
ARDL model日期 2009 上傳時間 3-九月-2013 14:52:43 (UTC+8) 摘要 傳統財務理論中均假設市場為效率市場，然而不動產市場並非效率市場，投資者對於市場資訊之反應並非完全理性。若投資者忽視自身擁有之資訊，選擇追隨其他人的投資決策，將使投資人間存在相互牽制之行為，因而產生行為財務學中之「從眾行為」，其決策結果將無法完全反應市場資訊，並造成投資人集體買進、賣出之行為，使市場價格與交易量存在不正常之波動。由於台灣不動產市場長期以來存在有價格漲幅波動超越合理範圍之現象，因此本研究探討台灣不動產市場是否存有從眾行為，使得投資人具有非理性的投資傾向。有鑑於過去關於從眾行為之研究仍以股票市場中報酬率或交易量驗證為主，對於台灣運用交易量進行不動產市場之從眾行為驗證則付之闕如，而從眾行為對於不動產市場之影響，首先將反映於交易量之波動，因此本研究運用自我迴歸分配落遲模型對於台灣不動產市場是否存在從眾行為進行驗證，並比較不動產報酬率波動不同之交易市場，其從眾行為存在情形之異同。模型結果顯示台灣三大都會區（臺北市、臺中市與高雄市）與臺北市分區（分為市中心、郊區與郊外）中，僅臺北市整體與臺北市分區之住宅市場明顯存在從眾行為現象。結果顯示當該住宅市場存在從眾行為時，當期交易量將受到當期持有成本與前期市場報酬率之影響。此外，交易量除受從眾行為之影響外，尚受到經濟成長率、營建類股股價指數、物價指數租金年增率、營造工程物價指數等之正向影響，而購屋貸款利率與通貨膨脹則和交易量呈反向變動現象。本研究以探討從眾行為、交易量與總體經濟因素之關連性，進一步釐清影響住宅市場交易量波動之因素，使購屋者於決策時參考前期市場交易情形能更加理性，避免盲目跟隨下的從眾行為產生。
Base on the Efficient Market Hypothesis, the traditional financial theory assumes the market is efficient. However, the real estate market is not. For this reason, investors could not react to market information entirely. If investors ignore their own information, they may choose to follow other peoples’ investment decisions. Therefore, this situation will lead to herding behavior of behavioral finance that may cause price volatility and unusual transactions. On account of the real estate market exists unreasonable price fluctuations for a long time in Taiwan, this thesis examines whether the herding behavior exists in Taiwan real estate market or not.Although many researchers study the herding behavior in the stock market by using the transactions and the returns on investment, few attempts have been made to discuss the herding behavior in Taiwan housing market by using the housing transactions. Hence, this study examines the herding behavior in Taiwan housing market by establishing the Auto-regressive Distributed Lag (ARDL) model with housing transaction data.Results found the herding behavior of real estate market do exist in the whole Taipei city and the three region of Taipei city (downtown, suburb and outskirt). And it shows the transactions in the housing market with herding behavior may be affected by user cost of housing and pre-market returns. Furthermore, the study finds some macroeconomic factors affecting the housing transactions positivity, such as economic growth rate, construction stocks index, consumer price index of house renting and consumer price index of construction engineering. On the contrary, loan interest rate of housing and consumer price index has negative influence.To conclude, this study aims to examine the influential factors on the volatility of housing transactions though clarifying the relationship between the herding behavior, the transactions in housing market and the macroeconomic factors. It may help investors follow other peoples’ investment decisions more reasonable, and avoid blind herding behavior in real estate markets.參考文獻 Acemoglu, D. (1993). Learning about others’ actions and the investment accelerator,Economic Journal, 103, 318-328.Admati, A, and P. Pfleiderer. (1988).A theory of Intraday Patterns: Volume and Price Variability. Review of Finance Studies,1(1),3-40.Asch, S. E. (1951). Effects of group pressure upon the modification and distortion of judgment. Groups, leadership, and men, 177-190.Baddeley, M.C(2005).Housing bubbles, herdingings and frenzies: evidence from British housing markets.CEPP , University of Cambridge,1-32.Banerjee, A. V.(1992).A Simple Model of Herd Behavior. Quarterly Journal of Economics,CVII(3),790-817.Bikchandani, S, D.Hirshleifer and I. Welch (1992). A Theory of Fad, Fashion, Custom and Cultural Change as Informational Cascades. Journal of Political Economy, 100(5),992-1026.Bikhchandani, S., and S. Sharma ( 2000). IMF Working Papers ,International Monetary Fund, 47(3), 279-307. Chang, Eric C.,Joseph W. Cheng and Ajay Khorana(2000), An Examination of Herd Behavior in Equity Markets: An International Perspective .Journal of Banking and Finance,24(10),1651-1679.Christie, W. G. and Huang, R. D.,(1995),Following the pied piper: Do individual returns herd around the market?, Financial Analysts Journal,No.51：31–37.Chowdhry ,B. and Nanda,V.(1991).Multimarket Trading and Market Liquidity. Review of Financial Studies,4(3),483-511.Darrat, A. F. and J. L. Glasock(1993) On the real estate market efficiency. Journal of Real Finance Economics,7,55-72.Devenow, A. and I. Welch (1996).Rational herding in financial economics.European Economic Review ,40, 603-615.Enders, W.(2004).Applied Econometric Time Series. New York: John Willey & Sons, Inc .Falkenstein, E. G. (1996). Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance, 51, 111-135.Fortura, P. and J. Kushner (1986). Canadian Inter-City House Price Differentials. Real Estate Economics, 14(4), 525-536.Froot, K. A., Scharfstein , D.S. and Steinet, J.C.(1992). Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, Journal of Finance, 47, 1461-1484.Graham, J.(1999).Herding among investment newsletters: Theory and evidence,Journal of Finance 54, 237-268.Hwang, S. and M. Salmon(2004).Market Stress and Herding.Journal of Empirical Finance,11(4),585-616.Jorgenson, D.W.(1963).Capital Theory and Investment Behaviour. American Economic Review, 53, 247-59.Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decisions under risk. Econometrica, 47, 313-327.Keynes, J.M. (1936). The General Theory of Interest, Employment and Money. Macmillan, London. Kmenta, J. (1996). Elements of econometrics .2nd ed.. Macmillan, New York.Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics ,32, 23-43.McCue, Thomas E., and John L. Kling. (1994).Real estate returns and the macroeconomy: Some empirical evidence from real estate investment trust data.Journal of Real Estate Research ,9,277-287.James, Montier, (2002).Behavioural Finance: Insights into Irrational Minds and Markets, John Willey & Sons Ltd. Odean, T.(1998). Are investors reluctant to realise their losses. Journal of Finance, 53, 1775-1798.Scharfstein, D.S. and J.C. Stein (1990). Herd Behaviour and Investment. American Economic Review, 80(3), 465-79.Shiller, R. J. (1984).Stock prices and social dynamics. Brookings Papers on Economic Activity, 2, 457-498.Simon, H. A. (1982).Models of bounded rationality.Behavioral Economics and Business Organization, The MIT Press, vol.2, Cambridge: MA.Topol, R.(1991).Bubbles and volatility of stock prices: effect of mimeticcontagion.Economic Journal, 101,786-800.Wermers, R.(1999). Mutual fund herding and the impact on stock prices, Journal of Finance, 54, 581-622. 江宏儒(2002)，股票市場從眾行為之探討：新興市場與已開發國家之比較，高雄第一科技大學財務管理研究所碩士論文 江明宜(1997) ，營建類股價及其影響因素波動關係之研究-誤差修正模型之應用，政治大學地政研究所碩士論文吳森田(1994)，所得、貨幣與房價—近二十年來臺北地區的觀察，住宅學報，第 2卷，頁49-66易丹輝(2008)，數據分析與Eviews應用，中國人民大學出版社林秋瑾、黃珮玲(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)進行實證分析，政治大學學報，第71期，頁143-159 林秋瑾、王健安、張金鶚(1996)，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，國科會人文及社會科學彙刊，第7卷，第1期，頁35-56洪來發(2004)，行為財務學財務管理之心理學取向，華立圖書洪裕勝、曾榮騰(2008)，權益型REITs市場的從眾行為現象_以NYSE市場為例， 2008年企業管理暨經營決策學術研討會張金鶚、陳明吉、鄧筱蓉、楊智元(2008)，臺北市房價泡沫知多少？－房價、租 金、所得之關係與狀態空間模型之應用，世界華人不動產學會成立大會暨產 業與學術研討會，上海，中國陳明吉(1989)，房地產價格及其變動因素之研究，政治大學地政學系研究所碩士 論文陳明吉、曾婉婷 (2008)，台灣不動產市場從眾行為之檢視，管理與系統，第15\\卷，第4期，頁591-615許淑媛與張金鶚(2008)，住宅個案價格分散之時空影響，2008 年中華民國住宅學會年會論文。傅舒妙(1989)，臺北都會區住宅價格影響因素探討」，碩士論文，國立中興大學經濟研究所碩士論文彭建文與張金鶚(2000)，預期景氣與宣告效果對房地產景氣之影響，管理學報，第17卷，第2期，頁343-368曾建穎、張金鶚、花敬群(2006)，不同空間、時間住宅租金與其房價關聯性之研究-臺北地區之實證現象分析，住宅學報，第14卷，第2期，頁27-49楊奕農(2008)，時間序列分析--經濟與財務上之應用，雙葉出版社 描述 碩士
國立政治大學
地政研究所
97257002
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0972570021 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin,tsoyu calvin en_US dc.contributor.author (作者) 程于芳 zh_TW dc.contributor.author (作者) Cheng,yu fang en_US dc.creator (作者) 程于芳 zh_TW dc.creator (作者) Cheng,yu fang en_US dc.date (日期) 2009 en_US dc.date.accessioned 3-九月-2013 14:52:43 (UTC+8) - dc.date.available 3-九月-2013 14:52:43 (UTC+8) - dc.date.issued (上傳時間) 3-九月-2013 14:52:43 (UTC+8) - dc.identifier (其他 識別碼) G0972570021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59824 - 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) 97257002 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 傳統財務理論中均假設市場為效率市場，然而不動產市場並非效率市場，投資者對於市場資訊之反應並非完全理性。若投資者忽視自身擁有之資訊，選擇追隨其他人的投資決策，將使投資人間存在相互牽制之行為，因而產生行為財務學中之「從眾行為」，其決策結果將無法完全反應市場資訊，並造成投資人集體買進、賣出之行為，使市場價格與交易量存在不正常之波動。由於台灣不動產市場長期以來存在有價格漲幅波動超越合理範圍之現象，因此本研究探討台灣不動產市場是否存有從眾行為，使得投資人具有非理性的投資傾向。有鑑於過去關於從眾行為之研究仍以股票市場中報酬率或交易量驗證為主，對於台灣運用交易量進行不動產市場之從眾行為驗證則付之闕如，而從眾行為對於不動產市場之影響，首先將反映於交易量之波動，因此本研究運用自我迴歸分配落遲模型對於台灣不動產市場是否存在從眾行為進行驗證，並比較不動產報酬率波動不同之交易市場，其從眾行為存在情形之異同。模型結果顯示台灣三大都會區（臺北市、臺中市與高雄市）與臺北市分區（分為市中心、郊區與郊外）中，僅臺北市整體與臺北市分區之住宅市場明顯存在從眾行為現象。結果顯示當該住宅市場存在從眾行為時，當期交易量將受到當期持有成本與前期市場報酬率之影響。此外，交易量除受從眾行為之影響外，尚受到經濟成長率、營建類股股價指數、物價指數租金年增率、營造工程物價指數等之正向影響，而購屋貸款利率與通貨膨脹則和交易量呈反向變動現象。本研究以探討從眾行為、交易量與總體經濟因素之關連性，進一步釐清影響住宅市場交易量波動之因素，使購屋者於決策時參考前期市場交易情形能更加理性，避免盲目跟隨下的從眾行為產生。 zh_TW dc.description.abstract (摘要) Base on the Efficient Market Hypothesis, the traditional financial theory assumes the market is efficient. However, the real estate market is not. For this reason, investors could not react to market information entirely. If investors ignore their own information, they may choose to follow other peoples’ investment decisions. Therefore, this situation will lead to herding behavior of behavioral finance that may cause price volatility and unusual transactions. On account of the real estate market exists unreasonable price fluctuations for a long time in Taiwan, this thesis examines whether the herding behavior exists in Taiwan real estate market or not.Although many researchers study the herding behavior in the stock market by using the transactions and the returns on investment, few attempts have been made to discuss the herding behavior in Taiwan housing market by using the housing transactions. Hence, this study examines the herding behavior in Taiwan housing market by establishing the Auto-regressive Distributed Lag (ARDL) model with housing transaction data.Results found the herding behavior of real estate market do exist in the whole Taipei city and the three region of Taipei city (downtown, suburb and outskirt). And it shows the transactions in the housing market with herding behavior may be affected by user cost of housing and pre-market returns. Furthermore, the study finds some macroeconomic factors affecting the housing transactions positivity, such as economic growth rate, construction stocks index, consumer price index of house renting and consumer price index of construction engineering. On the contrary, loan interest rate of housing and consumer price index has negative influence.To conclude, this study aims to examine the influential factors on the volatility of housing transactions though clarifying the relationship between the herding behavior, the transactions in housing market and the macroeconomic factors. It may help investors follow other peoples’ investment decisions more reasonable, and avoid blind herding behavior in real estate markets. en_US dc.description.tableofcontents 第一章 緒論……………………………………………………………………………………………………….…1 第一節 研究動機與研究目的…………………………………………………………………….…1 第二節 研究範圍與研究方法…………………………………………………………………….…4 第三節 研究架構與流程…………………………………………………………………………….…6第二章 文獻回顧…………………………………………………………………………………………………..8 第一節 從眾行為相關理論……………………………………………………………………………8 第二節 從眾行為衡量模型………………………………………………………………………….12 第三節 國內外從眾行為實證研究………………………………………………………………14 第四節 總體經濟變數與不動產市場之關連性…………………………………………..16第三章 實證模型建立與資料明………….………………………………………………………………18 第一節 實證模型建立…………………………………………………………………………………18 第二節 變數選取與資料分析..……………………………………………………………………24第四章 模型實證結果與分析………………………………….…………………………..……………..33 第一節 單根檢定……………………………………………….………………………………………..33 第二節 住宅市場從眾行為驗證結果………………….………………………………….…..35 第三節 住宅市場從眾行為與總體經濟指標之關連性………………………….……42 第四節 實證結果解讀與分析…………………………….……………………………………….50第五章 結論與建議………………………………..……….………………………………………………….55 第一節 結論…………………………………………….………………………………………………….55 第二節 後續建議…………………………………….………………………………………………….58參考文獻 …..…………………………………………………………………………………………………………60 zh_TW dc.format.extent 1284357 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/#G0972570021 en_US dc.subject (關鍵詞) 從眾行為 zh_TW dc.subject (關鍵詞) 持有成本 zh_TW dc.subject (關鍵詞) 交易量波動 zh_TW dc.subject (關鍵詞) 自我迴歸分配落遲模型 zh_TW dc.subject (關鍵詞) herding en_US dc.subject (關鍵詞) user cost of housing en_US dc.subject (關鍵詞) transaction volatility en_US dc.subject (關鍵詞) ARDL model en_US dc.title (題名) 住宅市場從眾行為與總體經濟因素之研究 zh_TW dc.title (題名) Macroeconomic Factors and the Herd Behavior in the Residential Real Estate Markets en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Acemoglu, D. (1993). Learning about others’ actions and the investment accelerator,Economic Journal, 103, 318-328.Admati, A, and P. Pfleiderer. (1988).A theory of Intraday Patterns: Volume and Price Variability. Review of Finance Studies,1(1),3-40.Asch, S. E. (1951). Effects of group pressure upon the modification and distortion of judgment. Groups, leadership, and men, 177-190.Baddeley, M.C(2005).Housing bubbles, herdingings and frenzies: evidence from British housing markets.CEPP , University of Cambridge,1-32.Banerjee, A. V.(1992).A Simple Model of Herd Behavior. Quarterly Journal of Economics,CVII(3),790-817.Bikchandani, S, D.Hirshleifer and I. Welch (1992). A Theory of Fad, Fashion, Custom and Cultural Change as Informational Cascades. Journal of Political Economy, 100(5),992-1026.Bikhchandani, S., and S. Sharma ( 2000). IMF Working Papers ,International Monetary Fund, 47(3), 279-307. Chang, Eric C.,Joseph W. Cheng and Ajay Khorana(2000), An Examination of Herd Behavior in Equity Markets: An International Perspective .Journal of Banking and Finance,24(10),1651-1679.Christie, W. G. and Huang, R. D.,(1995),Following the pied piper: Do individual returns herd around the market?, Financial Analysts Journal,No.51：31–37.Chowdhry ,B. and Nanda,V.(1991).Multimarket Trading and Market Liquidity. Review of Financial Studies,4(3),483-511.Darrat, A. F. and J. L. Glasock(1993) On the real estate market efficiency. Journal of Real Finance Economics,7,55-72.Devenow, A. and I. Welch (1996).Rational herding in financial economics.European Economic Review ,40, 603-615.Enders, W.(2004).Applied Econometric Time Series. New York: John Willey & Sons, Inc .Falkenstein, E. G. (1996). Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance, 51, 111-135.Fortura, P. and J. Kushner (1986). Canadian Inter-City House Price Differentials. 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(1994).Real estate returns and the macroeconomy: Some empirical evidence from real estate investment trust data.Journal of Real Estate Research ,9,277-287.James, Montier, (2002).Behavioural Finance: Insights into Irrational Minds and Markets, John Willey & Sons Ltd. Odean, T.(1998). Are investors reluctant to realise their losses. Journal of Finance, 53, 1775-1798.Scharfstein, D.S. and J.C. Stein (1990). Herd Behaviour and Investment. American Economic Review, 80(3), 465-79.Shiller, R. J. (1984).Stock prices and social dynamics. Brookings Papers on Economic Activity, 2, 457-498.Simon, H. A. (1982).Models of bounded rationality.Behavioral Economics and Business Organization, The MIT Press, vol.2, Cambridge: MA.Topol, R.(1991).Bubbles and volatility of stock prices: effect of mimeticcontagion.Economic Journal, 101,786-800.Wermers, R.(1999). 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