Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model

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

10.6545/JFS.2013.21(4).2

蔡怡純(I-Chun Tsai)；陳明吉(Ming-Chi Chen)

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

財務金融學刊

21卷4期（2013 / 12 / 31）

25 - 57

英文

本文提出股票市場和住宅市場之間可能存在不對稱相關的假說。本文使用台灣集中市場的股價加權指數和台北市房價指數進行實證分析，結果顯示，兩者之間的共整合關係存在門檻效果，進而，續以Hansen和Seo（2002）的門檻向量誤差修正模型估計，本文發現房價趨向均衡的修正行為在其需向上修正時較為顯著。

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.

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1. 蔡怡純、陳明吉(2013)。房價之不對稱均衡調整：門檻誤差修正模型應用。臺灣土地研究，16(1)，37-58。