國立中山大學學位論文典藏

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榆沿施
9 years ago
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2 68 Granger Granger

3 Abstract During the late 1980 s, the stock market and real estate market in Taiwan both went into enormous booms. The Taiwan Stock Market Weighted Price Index (TSMWPI) and real estate prices both reach the highest peaks that they never reach before. It seems that there is a certain relationship between the stock market and real estate market. Therefore, this thesis proposes to study the following two propositions: (1) if the stock market and real estate market are integrated, then a certain degree of asset substitution will occur. The price of the assets in the two markets will interacted due to the asset substitution. And this price interaction will reduce the effect of risk diversifying. (2) But if the two markets are segmented, the effect the diversifying risk will get significant increasing as long as having the assets of the two markets included in your portfolio simultaneously. Past studies commonly investigated the relationship between the price series in these two markets, and therefore make the conclusions of their relationships. However, any individual price series cannot represent the activities of the whole market. Consequently, we adopt the Arbitrage Pricing Model (APM) to examine the relationships between the stock market and the real estate market in Taiwan. Our study is the first one to discuss this topic from the view of the market. Our study also tests causality relationship between the price series, but we have some improvements compared to the past studies. Our model includes an exogenous variable which captures the influence affecting both the stock market and real estate market at the same time. The test of casualty is also based on the cointegration theory. We test four cities in Taiwan, including the Taipei City, Taipei County, Taichung City and Kaohsiung City. Our findings suggest that the house price of the Taipei City and the Taipei County are co-integrated with the TSMWPI, that is, there is a long-term equilibrium relationship between the two cities and TSMWPI. The test of Granger Causality indicates that TSMWPI only Granger causes the house price of the Taipei City. All other causality relationships are not existed in these four cities. Finally, we use the APM to examine the relationship between the two markets and find that no evidence of relationship is existed between the stock and the housing market, suggesting that the stock market and the housing market in Taiwan are segmented. Key Words: Real Estate Market, Stock Market, Causality, CAPM

It seems that there is a certain relationship between the stock market and real estate market.

5 APT Granger 43 Arbitrage Pricing Model-APT Granger 51 APT

6 AEG...50 Granger.53 Granger.53 Granger.54 Granger.54 APT

7 12000 (1990) (1996) (1997) (2000)

8 (1995) (1996) (Vector Autoregression Model) (Engle and Granger, 1987) (Error Correction)

9 Granger (1969) 1 Granger Granger Capital Asset Pricing Model(CAPM) Asset Pricing Theory(APT) CAPM APT (portfolio) APT

11 (quality-fixed) TEJ Ln 2 3

14 % 28.55% 23.08% % %

15 %

16 % NASDAQ 15.57% 1

19 /

23 %

24 % % %

25 % % ~20

27 q1 71q2 72q3 73q4 75q1 76q2 77q3 78q4 80q1 81q2 82q3 83q4 85q1 86q2 87q

28 NA NA

29 1996 Hsiao %

30 Breedon and Joyce (1992) Richard K.Green(1999) Markowitz Granger Ong 1995 Engle Granger (1987)

31 Adler Dumas (1983) Solnik(1977) - Liu Hartzell Greig Grissiom CAPM Patrick Wilson John Okunev Guy Ta 1995 CAPM Arbitrage Pricing Theory(APT) David C.Ling Andy Naranjo Arbitrage Pricing Model(APT) REITs 1990

32 Patrick Wilson John Okunev 1997 Real Estate Investment Trust (REITs) S&P500 mean reversion deterministic drift term fractionally integrated REITs fractional cointegration 1987 Daniel C.Quan Sheridan Titman

34 ( (1990) (1994) ) Chen and Patel (1998) ( ) Granger VAR

35 Horng Jinh Chang Tueh Hua Lee 2000 Qkunev and Wilson (1997) (1999) John Okunev Goldstein and Nelling (1999)

36 ( ) ( ) Crocker H. Liu David J.Hartzell Wylie Greig Terry V.Grissom (1990) Patrick Wilson John Okunev Guy Ta(1995) ONG SEOW ENG(1995) EREIT, FRC, NCREIF 1978 ~ S&P500, SMI, MGCI 1986 USMI, ACLI, ICM CAPM MA UI 1979 HI ~ 1993 PI (property transfer expense) AI Private Property Price Index SES-All Property Index CAPM Angler and 1977 Granger ~ 1992

37 Patrick Wilson John Okunev 1997 Patrick Wilson John Okunev 1999 David C. Ling Andy Naranjo (1999) REIT, Hybrid REIT, Equity REIT, Mortgage REIT 1993 S&P All REITs ( ) FTAP Financial Times All Properties ( ) ~ Property Index( ) 1973 S&P500,S&P small Cap Index( ) FTSE (Financial Times Stock Exchange) ( ) All Ordinaries Index( ) ~ 1993 REITs form CRSP NCREIF, a combination of NCREIF and ACLI 1978 ~ 1994 mean reversion Fractional Cointergration APT REIT

38 Richard K. NYSE, AMEX, Nasdaq Green (1999) median price data from the California Association of REALTORS for San Francisco Country, Santa Clara Country, Los Angeles Country, Orange Country Russell ~ 1998 Granger ~ 1989 Granger 1980 ~ 1994

39 1996,82 Stock80 Stock90 from AREMOS 1986 ~ 1996 VAR ~ 1999 John Okunev Horng Jihn Chang Tueh Hua Lee (2000) 1991 ~ 1998

40 70 90 (, 1995) (, 1996) CAPM APT

41 ( ) ( ) Markowitz 1952

42 R t =f(s t-1,s t-2,s t-3,,e) R t S t-1,s t-2,s t-3 E 4.1 S t =f(r t-1,r t-2,r t-3,,e) (4.2 ) APT

43 Capital Asset Pricing Model(CAPM) Arbitrage Pricing Model(APT) CAPM APT CAPM i f i ( E( R R ) E( R ) = R + β ) 4.3 m f E(R i ) E(R m ) i i= im / 2 m im 2 m APT APT ( E( R1 ) Rf ) + β( i,2) ( E( R2) R f ) + L+ ( i, n ( E( Rn R f ) ei E = ) + ( Ri ) R f + β( i,1) β ) 4.4 R f (i,k) i k APT

44 APT Factor Analysis ( E( Rm ) Rf ) + ( i,2 ( E( Rc R f ) ei E = β ) + (4.5 ) ( Ri ) R f + ( i,1) β ) E(R m ) E(R c ) 4.4 ( Rm Rf ) + β( i,2) ( Rc R f ) + ( i,3 GNPt ei R β + (4.6 ) i = R f + ( i,1) β ) 4.6 R m,t =a+b*r c,t + ν (4.7 ) c m ν R m 4.6 c m 4 ( ) Liu et al (1990) Ong (1995)

45 ( νc / m R f ) + β( i,2) ( Rc R f ) + ( i,3 GNPt ei R β i = R f + ( i,1) β ) i

46 Granger (1969) Granger (Error Correction Term) (mis-specified) Granger APT Ln stationary (nonstationary) unit root

47 1 1 Stationary Augmented Dickey Fuller(ADF) 1979 Dickey Fuller t Dickey Fuller Dickey-Fuller (Dickey-Fuller unit root test) DF Y = ρ 1 + ε (4.9 ) t Y t t Y = α + ρ 1 + ε (4.10 ) t Y t t Y = α + βt + ρ 1 + ε (4.11 ) t Y t t = -1 t H 0 0 ( ) H 1 0 ( ) Dickey Fuller τ τ µ τ τ DF

48 t (White Noise) DF Dickey Fuller Augmented Dickey Fuller(ADF) Y = ρ Y + λ Y + ε t ADF t m i= 1 i t i Y = α + ρy + λ Y + ε t t m i= 1 i t i Y = α + βt + ρy + λ Y + ε t t m i= 1 i t t t i i t = -1 t (4.12 ) (4.13 ) (4.14 ) Y t Y t ADF DF Akaike information criterion(aic)(1974) AIC ' e e 2q AIC( q) = ln n n n: q: e e

49 AIC ADF Phillips-Perron(1988) DF Phillips Perron DF Phillips-Perron * * Y t = a0 + a1y t 1 + µ t 4.16 T Y t = a~ + a~ Yt + a~ ( t ) + µ t T t t: Phillips Perron DF * * Z(t a 1 )( a 1 =1) Z(t ~a 1 )( * ~a 1=1) Z(t ~a 2 )( ~a 2 =0) Z( 3 )( a 1 =1 ~a 2 =0) C( L) µ t = *εt 4.16 B( L) B(L)y t = * * a0 B(L)+ a1 B(L)y t-1 +C(L) t 4.18 Phillips-Perron DF

50 Co-integration X t Y t R t =X t - Y t X t Y t Augmented Engle-Granger (AEG) 1987 AEG X t = *Y t + t (4.19 ) t ADF t t I(0) X t,y t t t I(0) X t,y t Granger Granger Granger X Y t t m m 0 + a j X t j + bjyt j + εt j= 1 j= 1 = α (4.20 ) m m 0 + c j X t j + d jyt j + νt j= 1 j= 1 = β (4.21 ) X t Y t t t m

51 Granger (4.20 ) Y t Y t X t (4.21 ) X t Y t X t Y t X t H 0 b 1 =b 2 =b 3 = =b m =0 H 1 b j X t Y t H 0 d 1 =d 2 =d 3 = =d m =0 H 1 d j Granger F Partial F 4.20 X t = a m 0 + a j X t j + µ t 4.22 j= 1 Reduce Form 4.19 Complete Form F F SSEr SSE df df SSE r c = 4.23 df c c c SSE c SSE r df r df c F F Y t X t Y t X t Yt Granger Cause

52 Xt X t Y t Y t X t (unidirectional) Y t X t X t, Y t AEG X Y t t m m 0 + α 1µ t 1 + a j X t j + bjyt j + εt j= 1 j= 1 = α (4.24 ) m m 0 + β 1µ t 1 + c j X t j + d jyt j + νt j= 1 j= 1 = β (4.25 ) t Arbitrage Pricing Model APT Capital Asset Pricing Model(CAPM) Arbitrage Pricing Model(APT) CAPM Sharpe(1964) Lintner(1965) Mossion(1966) CAPM

53 E(R i )=R f +(E(R m )-R f )* i E(R i ) (4.26 ) E R m i Security Market Line; SML APT Steven Ross APT (4.27 ) ( E( R1 ) Rf ) + β( i,2) ( E( R2) R f ) + L+ ( i, n ( E( Rn R f ) ei E = ) + ( Ri ) R f + β( i,1) β ) APT CAPM (4.27 )

54 Granger Granger APT APT Granger

55 Granger APT ADF Phillip-Perron (4.14 ) 0 I(0) (4.13 ) 1 I(1) AIC

56 ADF Statistic Phillip-Perron Statistic * ** *** *** %, 5%, 10% ADF Statistic Phillip-Perron Statistic *** *** * *** *** *** ** *** 1%, 5%, 10% I(0) I(1)

57 (Error Correction Term) (mis-specified) Augmented Engle Granger(AEG) ADF I(0) I(1) I(1) AEG AEG u i AEG ADF Statistic Phillip-Perron Statistic ** ** ** * 1%, 5%, 10% I(0) Granger

58 Granger Granger I(1) m m=4 b j 0 c j 0

59 Granger T F R *** ** %, 5%, 10% Granger T F R *** ** %, 5%, 10%

60 Granger T F R %, 5%, 10% Granger T F R %, 5%, 10% %

61 APT

62 APT APT APT ( νc / m R f ) + β( i,2) ( Rc Rf ) + ( i,3 GNPt ei R α + (5.1 ) i R f = 0 + β( i,1) β ) c/m R c GNP t R f i 0 CAPM Jensen s Abnormal Performance Index 1 (i,1) 0 (i,1) 1 Michael C.Jensen (1968), The Performance of Mutual Funds in the Period , Journal of Finance, May

63 APT T P-value R 2 DW ** (i,2) ** (i,1) (i,3) T P-value R 2 DW * (i,2) ** (i,1) (i,3) T P-value R 2 DW ** (i,2) (i,1) (i,3) * T P-value R 2 DW ** (i,2) ** (i,1) (i,3) * 10% 0 ** 5%

64 i (i,2) 0 (i,1) 0 APT APT APT

65 Granger Granger Granger

66 APT APT

68 Ljunj-Box Jarque-Bera White Heteroskedasticity L-B Q Statistic J-B Statistic R 2 *Obs ** Lag ** Lag6,9, ** Lag9, % 5% 10%

70 2. 3. Granger

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72 12. Jensen, M. C. (1968), The Performance of Mutual Funds in the Period , Journal of Finance, May 13.Jorion, P. and E. Schwartz (1986), Integration vs. segmentation in the Canadian stock market, The Journal of Finance, July, pp Kim, H. L. (1997), The historical performance of Singapore property stocks, Journal of Property Finance, Vol.8 No.2, pp Liu, C. H. and D. J. Hartzell and W. Greig and T. V. Grissom (1990), The integration of the real estate market and the stock market: Some Preliminary evidence, Journal of Real Estate Finance and Economics, No. 3, pp Ling, D. C. and A. Naranjo (1999), The integration of commercial real estate markets and stock markets, Real Estate Economics, Vol.27, No.3, pp Liu, C. H., Grisson, T. V. and Hartzell, D. J. (1990). The impact of market imperfections on real estate returns and optimal investment portfolio., Journal of Real Estate Finance and Economics, 3, Madura, J. and A. M. Whyte (1991), Integration versus segmentation in real asset markets: Implications for direct foreign investment, Global Finance Journal, Vol.2, pp Ong, S. E. (1995), Singapore real estate and property stocks-a cointegration test, Journal of Property Research, No12, pp Phillips, P. and P. Perron (1988), Testing for a unit root in time series regression, Biometrica, Vol.75:June, pp Pindyck, R. S. and D. L. Rubinfeld (1997), Econometric Models and Economic Forecasts, McGRAW-Hill Inc. 22.Quan, D. C. and S. Titman (1997), Commercial real estate prices and stock market returns: An International Analysis, Financial Analysts Journal, May/June, pp Ross, S. A. and R. C. Zisler (1991), Risk and return in real estate, Journal of Real Estate Finance and Economics, No.4, pp Solnik, B. (1977), Testing International asset pricing models: Some

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74 pp (1994) (1994) (1994) 12. (1995) 110 pp (1995) -Granger 14. (1995) (1995) (1996) (1996) 18. (1997) (1997) 20. (1997) 21. (1997) 22. (1997) pp (1997) - -( ) pp (1998) - -( ) pp (1999) (2000) 27. pp

(156) / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / /

(156) / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / / (155) * ** / / / / 1973 ~1974 1979 ~1980 1987 ~1989 * ** (156) 1990 2004 1997 1996 1980 / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / / (157) Hedonic Price