English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109951/140887 (78%)
Visitors : 46272873      Online Users : 1328
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/71563


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71563


    Title: 台北地區不動產價格波動與蛛網理論
    Other Titles: Housing Price Volatility in the Taipei Area and Cobweb Theory
    Authors: 蔡怡純;陳明吉
    Tsai, I-Chun;Chen, Ming-Chi
    Contributors: 財管系
    Keywords: 馬可夫轉換;蛛網理論;一般化自我迴歸條件異質變異;自我迴歸條件異質變異;不動產價格
    Markov-Switching;Cobweb Theory;GARCH;SWARCH;Real Estate Price
    Date: 2007-11
    Issue Date: 2014-11-19 15:54:48 (UTC+8)
    Abstract: 鑑於台灣的不動產市場景氣之劇烈變動，本研究探討台北地區的不動產價格波動。首先我們以蛛網理論之討論作為後續實證技術使用合理性之基礎，說明了在蛛網理論下，不動產價格波動性可能非定值，且預期心理會使不動產價格會呈現大小不同波動之情況。因此進而在實証上我們先利用ARCH及GARCH模型來估計不動產價格之異質條件變異數，証明不動產價格之波動性會隨著時間變動，再來我們續使用Markov-Switch-ARCH (SWARCH)模型估計，發現不動產價格在資料期間內至少並存兩種波動狀態，有時波動幅度較大而有時則僅會小幅波動，另外，高波動時期的波動幅度是另一種情況的九倍之多，但是在資料期間內僅出現六個時點為高波動時期，所以低波動時期才是不動產市場的常態。在這樣可能存在不同波動幅度的市場當中，交易者的風險也是會隨時間變動的，所以我們進一步使用ARCH-M模型觀察，波動性是否能解釋不動產預期價格的變動，結果發現的確在高風險會帶來高報酬的回饋。
    This paper examines the volatile behavior of real estate prices in the Taipei area. First, cobweb theory is used to explain price volatility and justify our empirical analysis. We use cobweb theory to illustrate inconstant real estate prices and further explain the phenomenon of occasional high and low volatility caused by anticipation. In the empirical test, we use both ARCH and GARCH models to estimate price conditional heteroscedasticity in order to verify a time-varying property of real estate prices. We continue to use the SWARCH model and find that there are at least two states of volatility. The magnitude of the high volatility state is as high as nine times that of low volatility, but low volatility is the normal condition in the market. Because risk is time-varying in the market, we further use the ARCH-M model to observe whether volatility can explain the change in expected returns and find that indeed high risk can bring high return.
    Relation: 台灣土地研究, 10(2), 1-12
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1-22.pdf2331KbAdobe PDF2707View/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 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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback