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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/71496


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/71496


    题名: Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model
    其它题名: 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
    作者: 陳明吉
    Tsai, I-Chun;Ming-Chi Chen
    贡献者: 財管系
    关键词: 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
    日期: 2013
    上传时间: 2014-11-14 18:23:57 (UTC+8)
    摘要: 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.
    關聯: Journal of Financial Studies, 21(4), 25-58
    数据类型: article
    显示于类别:[統計學系] 期刊論文

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