台灣不動產市場從眾行為之檢視

An Examination of Herding Behavior in the Taiwan Real Estate Market

陳明吉(Ming-Chi Chen)；曾琬婷(Wan-Ting Tseng)

從眾行爲 ； 不動產 ； CSSD模型 ； CSAD模型 ； 因果關係 ； Herding ； Real Estate ； CSAD Model ； CSSD Model ； Causality

管理與系統

15卷4期（2008 / 10 / 01）

591 - 615

繁體中文

本研究旨在檢視國內不動產市場投資者是否有從眾行爲之現象，以及從眾行爲與不動產市場狀態之間的關係。本文以不動產三個次市場：預售屋、成屋與土地三市場進行實證分析。實證結果的確發現有從眾行爲，也就是當市場價格上漲時，預售屋市場個別區域報酬率有齊漲的從眾行爲情況，但各市場價格下跌時，從眾行爲結論則較不一致。其次，不動產次市場中的預售屋與成屋市場都有遞延的從眾行爲，而成屋市場有較強的遞延現象可能是因爲資訊比預售屋市場更爲封閉。最後，從不動產價格波動與從眾行爲之因果檢定，指出從眾行爲無法促進不動產市場之效率，但從市場交易量與從眾行為之因果檢定，可確認不動產市場投資者有追隨群體之現象。

The paper examines herding behavior of the Taiwan real estate market and whether herding behavior affects market condition. Three types of the real estate market, including pre-sale housing, existing housing and land markets, are empirically tested. Our results suggest when markets boom, evidence of herding behavior is found in the pre-sale housing market. However, when markets are sluggish, existences of herding behavior are not conclusive in these three markets. Herding behavior is lagged in the real estate market due to information insufficient, especially in the existing housing market. The Granger causality test indicates herding and price volatility are related, implying herding is not able to make market more efficient. Transaction volume Granger casues herding, reconfirming that investors are sensitive to price changes in the markets.

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