台灣營建股與不動產市場相關性之研究

An Empirical Note on Testing the Cointegration Relationship between the Construction Stocks and Real Estate Markets in Taiwan

10.7074/YDAJB.201106.0149

林家葳(Chia-Wei Lin)

營建股 ； REITs ； 共整合檢定 ； Construction Stock ； REITs ； Cointegration Test

育達科大學報

27期（2011 / 06 / 01）

147 - 161

繁體中文

利用共整合檢定與Granger因果檢定，本文檢測台灣營建股與直接不動產、T-REITs及股市大盤之間股價波動的連動關係。本研究擴展了現有的文獻，填補了將營建股視為是不動產的代理變數，但卻沒有文獻探討兩者間相關性的研究缺口。研究結果發現營建股與信義房價指數、國泰房價指數、REITs在長期並不具有共整合的關係。然而營建股與股市大盤長期存在共整合的關係，但短期營建股對股市的干擾卻顯著大於股市對營建股的干擾，此也證實營建股引領股市大盤起伏的論證。

Using standard cointegration and Granger Causality method, we test the relationship between construction stocks, direct real estate, T-REITs and stock market. This study extends the scant existing studies and fills the gap for non documents to study whether the construction stocks are a good proxy to real estate market. Our results show that construction stocks are not cointegrated with Hsin-Yi, Cathey real estate price index and T-REITs in the long run, but, construction stocks are cointegrated with stock market in Taiwan.

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