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題名 Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model
其他題名 房價指數與股價指數的波動性差異及不對稱相關:門檻波動性與共整合模型實證分析
作者 陳明吉
Tsai, I-Chun;Ming-Chi Chen
貢獻者 財管系
關鍵詞 房價;股價指數;不對稱;波動性;門檻共整合
House prices;Stock market index;Wealth effect;Threshold;Cointegration
日期 2013
上傳時間 14-Nov-2014 18:23:57 (UTC+8)
摘要 This study proposes that asymmetric reactions of the stock and housing markets will result in asymmetric relationship between the two markets. This study uses the Taiwan Weighted Stock Index and housing price index of Taipei city for empirical analysis. The results show that a threshold existed in the equilibrium relationship between the two indexes. Further, we employ the threshold vector error correction model (VECM) proposed by Hansen and Seo (2002) for estimation. The results show that the adjustment behavior of housing price index is indeed more significant when it is revised upward.
關聯 Journal of Financial Studies, 21(4), 25-58
資料類型 article
dc.contributor 財管系en_US
dc.creator (作者) 陳明吉zh_TW
dc.creator (作者) Tsai, I-Chun;Ming-Chi Chenen_US
dc.date (日期) 2013en_US
dc.date.accessioned 14-Nov-2014 18:23:57 (UTC+8)-
dc.date.available 14-Nov-2014 18:23:57 (UTC+8)-
dc.date.issued (上傳時間) 14-Nov-2014 18:23:57 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/71496-
dc.description.abstract (摘要) This study proposes that asymmetric reactions of the stock and housing markets will result in asymmetric relationship between the two markets. This study uses the Taiwan Weighted Stock Index and housing price index of Taipei city for empirical analysis. The results show that a threshold existed in the equilibrium relationship between the two indexes. Further, we employ the threshold vector error correction model (VECM) proposed by Hansen and Seo (2002) for estimation. The results show that the adjustment behavior of housing price index is indeed more significant when it is revised upward.en_US
dc.format.extent 120 bytes-
dc.format.mimetype text/html-
dc.language.iso en_US-
dc.relation (關聯) Journal of Financial Studies, 21(4), 25-58en_US
dc.subject (關鍵詞) 房價;股價指數;不對稱;波動性;門檻共整合en_US
dc.subject (關鍵詞) House prices;Stock market index;Wealth effect;Threshold;Cointegrationen_US
dc.title (題名) Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Modelen_US
dc.title.alternative (其他題名) 房價指數與股價指數的波動性差異及不對稱相關:門檻波動性與共整合模型實證分析en_US
dc.type (資料類型) articleen