English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 93244/123616 (75%)
Visitors : 27828472      Online Users : 596
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/71496
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/71496


    Title: Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model
    Other Titles: 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
    Authors: 陳明吉
    Tsai, I-Chun;Ming-Chi Chen
    Contributors: 財管系
    Keywords: 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
    Date: 2013
    Issue Date: 2014-11-14 18:23:57 (UTC+8)
    Abstract: 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.
    Relation: Journal of Financial Studies, 21(4), 25-58
    Data Type: article
    Appears in Collections:[統計學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML887View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback