政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/71496

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109952/140891 (78%)
Visitors : 46243737 Online Users : 1114

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

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: https://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	Size	Format
index.html		0Kb	HTML2	1132	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

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。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

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。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...