| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 88 === Title of Thesis：the Relationship between Total Pages：108
Real Estate Prices and
Stock Prices: Evidence
from Taiwan
Key Word：stock Prices；real estate prices；linear and
nonlinear；cointegration；Granger causality；
impulse response；variance decomposition
Name of Institute：Graduate Institute of Money,
Banking and Finance,
Tamkang University
Graduate Date：June, 2000 Degree Conferred：Master
Name of Student：Jia-Yin Cheng Advisor：Chien-Chung Nieh
Abstract：
The effectiveness of the diversification exists when various asset markets are segmented. Otherwise, when all the asset markets are integration, they represent a strong substitute effect on each other.
This study, using both the linear and nonlinear approaches to investigate the dynamic relationships between real estate markets and stock markets of the major cities of Taiwan from 1991:03 to 1999:04. In addition, the results of bullish markets are compared to those of bearish markets in this study.
The linear analysis from the various time series methodologies (i.e., cointegration, Granger causality, impulse response and variance decomposition) find that, with the exception of the Taichung real estate market, the dynamic relationships between the Taiwan stock market and each of the real estate markets of other major cities in Taiwan are not significant. One the other hand, the results from the nonlinear analysis show that only the Taipei Hsien real estate market holds significant nonlinear relationship to the Taiwan stock market. Nevertheless, the results from the correlation analysis show a positive relationship between the Taipei city real estate market and the Taiwan stock market, whereas the relationships between the each of the real estate markets and the Taiwan stock market, whereas and each of the real estate markets of other major cities in Taiwan and the Taiwan stock market are negative.
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