傳統財務理論中均假設市場為效率市場，然而不動產市場並非效率市場，投資者對於市場資訊之反應並非完全理性。若投資者忽視自身擁有之資訊，選擇追隨其他人的投資決策，將使投資人間存在相互牽制之行為，因而產生行為財務學中之「從眾行為」，其決策結果將無法完全反應市場資訊，並造成投資人集體買進、賣出之行為，使市場價格與交易量存在不正常之波動。由於台灣不動產市場長期以來存在有價格漲幅波動超越合理範圍之現象，因此本研究探討台灣不動產市場是否存有從眾行為，使得投資人具有非理性的投資傾向。 有鑑於過去關於從眾行為之研究仍以股票市場中報酬率或交易量驗證為主，對於台灣運用交易量進行不動產市場之從眾行為驗證則付之闕如，而從眾行為對於不動產市場之影響，首先將反映於交易量之波動，因此本研究運用自我迴歸分配落遲模型對於台灣不動產市場是否存在從眾行為進行驗證，並比較不動產報酬率波動不同之交易市場，其從眾行為存在情形之異同。 模型結果顯示台灣三大都會區（臺北市、臺中市與高雄市）與臺北市分區（分為市中心、郊區與郊外）中，僅臺北市整體與臺北市分區之住宅市場明顯存在從眾行為現象。結果顯示當該住宅市場存在從眾行為時，當期交易量將受到當期持有成本與前期市場報酬率之影響。此外，交易量除受從眾行為之影響外，尚受到經濟成長率、營建類股股價指數、物價指數租金年增率、營造工程物價指數等之正向影響，而購屋貸款利率與通貨膨脹則和交易量呈反向變動現象。 本研究以探討從眾行為、交易量與總體經濟因素之關連性，進一步釐清影響住宅市場交易量波動之因素，使購屋者於決策時參考前期市場交易情形能更加理性，避免盲目跟隨下的從眾行為產生。 / Base on the Efficient Market Hypothesis, the traditional financial theory assumes the market is efficient. However, the real estate market is not. For this reason, investors could not react to market information entirely. If investors ignore their own information, they may choose to follow other peoples’ investment decisions. Therefore, this situation will lead to herding behavior of behavioral finance that may cause price volatility and unusual transactions. On account of the real estate market exists unreasonable price fluctuations for a long time in Taiwan, this thesis examines whether the herding behavior exists in Taiwan real estate market or not. Although many researchers study the herding behavior in the stock market by using the transactions and the returns on investment, few attempts have been made to discuss the herding behavior in Taiwan housing market by using the housing transactions. Hence, this study examines the herding behavior in Taiwan housing market by establishing the Auto-regressive Distributed Lag (ARDL) model with housing transaction data. Results found the herding behavior of real estate market do exist in the whole Taipei city and the three region of Taipei city (downtown, suburb and outskirt). And it shows the transactions in the housing market with herding behavior may be affected by user cost of housing and pre-market returns. Furthermore, the study finds some macroeconomic factors affecting the housing transactions positivity, such as economic growth rate, construction stocks index, consumer price index of house renting and consumer price index of construction engineering. On the contrary, loan interest rate of housing and consumer price index has negative influence. To conclude, this study aims to examine the influential factors on the volatility of housing transactions though clarifying the relationship between the herding behavior, the transactions in housing market and the macroeconomic factors. It may help investors follow other peoples’ investment decisions more reasonable, and avoid blind herding behavior in real estate markets.

Submitted by Rodson Heringer (rodsonheringer@gmail.com) on 2014-08-19T13:35:04Z No. of bitstreams: 1 Rodson Heringer_vfinal.pdf: 585514 bytes, checksum: 47c7b742f2da43456fabe8d31c914054 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: As paginas continuam numeradas. A numeração das paginas deverão ser contadas a partir do índice. on 2014-08-19T13:40:45Z (GMT) / Submitted by Rodson Heringer (rodsonheringer@gmail.com) on 2014-08-19T14:14:49Z No. of bitstreams: 1 Rodson Heringer_vfinal.pdf: 586286 bytes, checksum: d42505429c5f0cbf765dd2d32c6cb066 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-19T14:15:57Z (GMT) No. of bitstreams: 1 Rodson Heringer_vfinal.pdf: 586286 bytes, checksum: d42505429c5f0cbf765dd2d32c6cb066 (MD5) / Made available in DSpace on 2014-08-19T16:15:00Z (GMT). No. of bitstreams: 1 Rodson Heringer_vfinal.pdf: 586286 bytes, checksum: d42505429c5f0cbf765dd2d32c6cb066 (MD5) Previous issue date: 2014-08-04 / Este trabalho analisa a variação da taxa de aluguel e do custo de moradia nas cidades de São Paulo e Rio de Janeiro para o período de Janeiro de 2008 a Janeiro de 2014 utilizando uma abordagem quantitativa com base na expectativa de longo prazo da taxa de juros reais, na expectativa de inflação e na valorização do preço dos imóveis em uma janela de 1 ano. Os resultados indicam que a expectativa de longo prazo da taxa de juros reais tem um impacto relevante na variação da taxa de aluguel durante o período abordado, bem como a expectativa de inflação, mas em magnitude menor, enquanto a valorização passada de 1 ano não tem poder explicativo sobre a taxa de aluguel. / We examine the variation of the rent-to-price ratio in the cities of Sao Paulo and Rio de Janeiro from January 2008 to January 2014 using a quantitative approach based on the expected long-term real interest rate, the expected inflation rate and the price appreciation of real estate during the last twelve months. The results indicate that the expected long-term real interest rate has a significant impact on the variation of the rent-to-price ratio during the period covered, as well as the expected inflation, but to a lesser degree, while the past price appreciation has no explanatory power.