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題名 預售屋與成屋價格領先落後關係
The Price Lead-Lag Relationship between the Presale and Spot Real Estate Market
作者 侯鈞元
貢獻者 屠美亞
侯鈞元
關鍵詞 領先落後
資訊不對稱
房價指數
lead-lag
information asymmetric
price index
VECM
日期 2012
上傳時間 1-Oct-2013 11:39:26 (UTC+8)
摘要 相較於金融市場，有關於預售屋、新屋和二手屋之間的房價領先落後關係較少被提出來探討。主要的原因是不動產市場上並沒有一個適合的價格指標來衡量預售屋和新屋的房價，因此本篇文章首先利用台北市的預售與新屋資料，來建立信義代銷指數，透過這個指數，作為衡量預售與新屋房價的指標。最後在使用向量自我回歸來檢定指數間的領先落關係。
實證結果顯示代銷指數和信義二手屋指數有長期共整合關係，當兩者價關係偏離長期均衡，預售屋和新屋的價格修正速度會較二手屋還要快。
這個結果符合一開始假設，相較於買房的人，建商擁有較多的資訊，因此建商在對預售屋和新屋定價時，反應較多的資訊，導致預售屋和新屋領先二手屋。同時我們將預售屋和新屋從代銷指數中拉出，再對這兩個指數進行領先落後關係的實證。結果發現新屋反應價格的速度較預售屋還要快，結果也和第二個假設一致，由於新屋的成本較高，因此其價格調整的速度會較預售屋快。
Whether or not there is a lead-lag relation among the resale market, the new house market, or the presale market is a question worthy of examination. I build the marketing index respectively for the new house and the presale market for the city of Taipei and employ the VECM to examine the issue, while the index for the resale market is the the XinYi index built by the XinYi Realty.
The empirical result shows that there a long-run cointegration between the marketing index and the resale index. When the relationship between the two markets deviates from the long-term equilibrium, the prices in the presale and the new house market adjust faster than that in the resale market. This lead-lag relationship indicates that the developers in the presale or new house markets have information advantages comparative to the buyers in the resale market. Furthermore, there is also a cointegration relationship between the price index of the presale and the new house markets. This result may indicate that the comparatively high carrying costs in the new house market ignite its developers to adjust their listing price faster than its counter parties in the presale market.
參考文獻 Reference
1. Blose, Laurence E., 2010, “Gold prices, cost of carry, and expected inflation”, Journal of Economics and Business, 62, 35-47
2. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2009, “Transaction volume and price dispersion in presale and spot real estate markets”, Journal of Real Estate Finance and Economics, 38, 241-253
3. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Volatility transmission in the real estae spot and forward markets”, Journal of Economics and Business, 35, 281-293
4. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Housing quality in the Forward Contracts Market”, Journal of Real Estate Finance and Economics, 34, 313-325
5. Chan, K., 1992, “A further analysis of the lead-lag relationship between the cash market and stock index futures market. ”, The Review of Financial Studies, 5, 123-152
6. Diamond, Douglas W. and Verrecchia, Robert E., 1987, “Constraints on short-selling and asset price adjustment to private information”, The Journal of Finance Economics, 18, 277-311
7. Fisher, J., Gatzlaff, D. and Geltner, D. 2004, “An analysis of the determinants of transaction frequency of institutional commercial real estate investment property”, Real Estate Economics, 32, 239-264
8. Gyourko, Joseph and Keim, Donald B., 1992, “What does the stock market tell us about real estate returns” Journal of the Americam Real Estate and Urban Economics Association, 20(3), 457-485
9. Hill, Robert, 2011, “Hedonic Price Indexes for Housing ”, OECD Statistics Working Papers
10. Heaney, Richard, 1998, “A test of the cost-of-carry relationship using the London metal exchange lead contract.” The Journal of Futures Markets, 18, 177-200
11. Hort, Katinka, 2000, “Price and turnover in the market for owner-occupied homes”, Regional Science and Urban Economics, 30, 99-119
12. Ibbotson, Roger G. and Siegel, Laurence B., 1984, “Real estate return: A comparison with other investment”, Real Estate Economic, 12, 219-242
13. Joseph T, L. Ooi. And Thao T. T. Le, 2012, “New supply and price dynamics in the Singapore housing market”, Urban Studies, 49, 1435-1451
14. Modest, David M., Sundaresan, Mahadevan, 1983, “The relationship between spot and futures prices in stock index futures markets: some preliminary evidence”, The Journal of Futures Markets, 3(1), 15-41
15. Martin, J. Bailey, Richard, F. Muth and Hugh O. Nourse, 1963, “A regression method for real estate price index construction”, Journal of American Statistical Associatioin, 58, 933-942
16. Sarno, Lucio and Valente, Giorgio, 2000, “The cost of carry model and regime shifts in stock index futures markets: an empirical investigation”, The Journal of Futures Markets, 20, 603-624
17. Stephan, Jens A. and Whaley, Robert E., 1990, “Intraday price change and trading volume relations in stock and stock option markets.” The Journal of Finance, 45(1), 191-220
18. Stein, Jeremy C. 1995, “The prices and Trading Volume in the Housing Market: A model with down-payment effects”, The Quarterly Journal of Economics”, 110, 379-406
19. Yiu, C. Y., Hui, E. C. M. and Wong, S. K., 2005, “Lead-Lag Relationship between the Real Estate Spot and Forward Contracts Market”, Journal of Real Estate Portfolio Management, 11, 253-262
20.張麗姬 (民 83)，「從遠期契約和現貨的角度論預售屋和成屋的價格關係─以台北市為例」，住宅學報，第二期，第67-85頁
21.張金鶚、楊宗憲、洪裕仁 (民 97)，「中古屋及預售屋房價指數之建立、評估與整合─以台北市之實證分析」，住宅學報，第二期，第13-34頁
描述 碩士
國立政治大學
財務管理研究所
100357014
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357014
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.author (Authors) 侯鈞元zh_TW
dc.creator (作者) 侯鈞元zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-Oct-2013 11:39:26 (UTC+8)-
dc.date.available 1-Oct-2013 11:39:26 (UTC+8)-
dc.date.issued (上傳時間) 1-Oct-2013 11:39:26 (UTC+8)-
dc.identifier (Other Identifiers) G0100357014en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61146-
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) 100357014zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 相較於金融市場，有關於預售屋、新屋和二手屋之間的房價領先落後關係較少被提出來探討。主要的原因是不動產市場上並沒有一個適合的價格指標來衡量預售屋和新屋的房價，因此本篇文章首先利用台北市的預售與新屋資料，來建立信義代銷指數，透過這個指數，作為衡量預售與新屋房價的指標。最後在使用向量自我回歸來檢定指數間的領先落關係。
實證結果顯示代銷指數和信義二手屋指數有長期共整合關係，當兩者價關係偏離長期均衡，預售屋和新屋的價格修正速度會較二手屋還要快。
這個結果符合一開始假設，相較於買房的人，建商擁有較多的資訊，因此建商在對預售屋和新屋定價時，反應較多的資訊，導致預售屋和新屋領先二手屋。同時我們將預售屋和新屋從代銷指數中拉出，再對這兩個指數進行領先落後關係的實證。結果發現新屋反應價格的速度較預售屋還要快，結果也和第二個假設一致，由於新屋的成本較高，因此其價格調整的速度會較預售屋快。		zh_TW
dc.description.abstract (摘要) Whether or not there is a lead-lag relation among the resale market, the new house market, or the presale market is a question worthy of examination. I build the marketing index respectively for the new house and the presale market for the city of Taipei and employ the VECM to examine the issue, while the index for the resale market is the the XinYi index built by the XinYi Realty.
The empirical result shows that there a long-run cointegration between the marketing index and the resale index. When the relationship between the two markets deviates from the long-term equilibrium, the prices in the presale and the new house market adjust faster than that in the resale market. This lead-lag relationship indicates that the developers in the presale or new house markets have information advantages comparative to the buyers in the resale market. Furthermore, there is also a cointegration relationship between the price index of the presale and the new house markets. This result may indicate that the comparatively high carrying costs in the new house market ignite its developers to adjust their listing price faster than its counter parties in the presale market.		en_US
dc.description.tableofcontents TABLE OF CONTENT
Chapter 1. Introduction.........................................5
Chapter 2. Literature Review and Hypotheses.....................7
-2.1 Lead-Lag Relationship in financial Market..................7
-2.2 Heterogeneity in Real Estate Market........................8
-2.3 Information Asymmetry......................................9
-2.4 The Price Lead-Lag relationship in Real Estate Market......10
-2.4 Hypotheses.................................................12
Chapter 3. Real Estate Marketing Index..........................15
Chapter 4. Data and Methodology.................................19
-4.1 Sample Description.........................................19
-4.2 Unit-Root..................................................23
-4.3 VECM and Cointegration Test................................24
Chapter 5. Empirical Result.....................................31
Chapter 6. Conclusion...........................................40
Reference.......................................................42		zh_TW
dc.format.extent 677277 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/#G0100357014en_US
dc.subject (關鍵詞) 領先落後zh_TW
dc.subject (關鍵詞) 資訊不對稱zh_TW
dc.subject (關鍵詞) 房價指數zh_TW
dc.subject (關鍵詞) lead-lagen_US
dc.subject (關鍵詞) information asymmetricen_US
dc.subject (關鍵詞) price indexen_US
dc.subject (關鍵詞) VECMen_US
dc.title (題名) 預售屋與成屋價格領先落後關係zh_TW
dc.title (題名) The Price Lead-Lag Relationship between the Presale and Spot Real Estate Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Reference
1. Blose, Laurence E., 2010, “Gold prices, cost of carry, and expected inflation”, Journal of Economics and Business, 62, 35-47
2. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2009, “Transaction volume and price dispersion in presale and spot real estate markets”, Journal of Real Estate Finance and Economics, 38, 241-253
3. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Volatility transmission in the real estae spot and forward markets”, Journal of Economics and Business, 35, 281-293
4. Chau, K. W., Wong, S. K. and Yiu, C. Y., 2007, “Housing quality in the Forward Contracts Market”, Journal of Real Estate Finance and Economics, 34, 313-325
5. Chan, K., 1992, “A further analysis of the lead-lag relationship between the cash market and stock index futures market. ”, The Review of Financial Studies, 5, 123-152
6. Diamond, Douglas W. and Verrecchia, Robert E., 1987, “Constraints on short-selling and asset price adjustment to private information”, The Journal of Finance Economics, 18, 277-311
7. Fisher, J., Gatzlaff, D. and Geltner, D. 2004, “An analysis of the determinants of transaction frequency of institutional commercial real estate investment property”, Real Estate Economics, 32, 239-264
8. Gyourko, Joseph and Keim, Donald B., 1992, “What does the stock market tell us about real estate returns” Journal of the Americam Real Estate and Urban Economics Association, 20(3), 457-485
9. Hill, Robert, 2011, “Hedonic Price Indexes for Housing ”, OECD Statistics Working Papers
10. Heaney, Richard, 1998, “A test of the cost-of-carry relationship using the London metal exchange lead contract.” The Journal of Futures Markets, 18, 177-200
11. Hort, Katinka, 2000, “Price and turnover in the market for owner-occupied homes”, Regional Science and Urban Economics, 30, 99-119
12. Ibbotson, Roger G. and Siegel, Laurence B., 1984, “Real estate return: A comparison with other investment”, Real Estate Economic, 12, 219-242
13. Joseph T, L. Ooi. And Thao T. T. Le, 2012, “New supply and price dynamics in the Singapore housing market”, Urban Studies, 49, 1435-1451
14. Modest, David M., Sundaresan, Mahadevan, 1983, “The relationship between spot and futures prices in stock index futures markets: some preliminary evidence”, The Journal of Futures Markets, 3(1), 15-41
15. Martin, J. Bailey, Richard, F. Muth and Hugh O. Nourse, 1963, “A regression method for real estate price index construction”, Journal of American Statistical Associatioin, 58, 933-942
16. Sarno, Lucio and Valente, Giorgio, 2000, “The cost of carry model and regime shifts in stock index futures markets: an empirical investigation”, The Journal of Futures Markets, 20, 603-624
17. Stephan, Jens A. and Whaley, Robert E., 1990, “Intraday price change and trading volume relations in stock and stock option markets.” The Journal of Finance, 45(1), 191-220
18. Stein, Jeremy C. 1995, “The prices and Trading Volume in the Housing Market: A model with down-payment effects”, The Quarterly Journal of Economics”, 110, 379-406
19. Yiu, C. Y., Hui, E. C. M. and Wong, S. K., 2005, “Lead-Lag Relationship between the Real Estate Spot and Forward Contracts Market”, Journal of Real Estate Portfolio Management, 11, 253-262
20.張麗姬 (民 83)，「從遠期契約和現貨的角度論預售屋和成屋的價格關係─以台北市為例」，住宅學報，第二期，第67-85頁
21.張金鶚、楊宗憲、洪裕仁 (民 97)，「中古屋及預售屋房價指數之建立、評估與整合─以台北市之實證分析」，住宅學報，第二期，第13-34頁		zh_TW