碩士 / 中原大學 / 企業管理研究所 / 101 / As a global community, countries have developed a variety of international commercial activities, which in turn promoted the global economies, including Asian economies. Along with the rapid development of Asian economies, the demands for Asian real estates and stocks increase dramatically, which flourish the Asian real estate and stock markets. On the other hand, the idea of "There is soil, there is wealth" is deeply rooted in Chinese culture which also helps the prosperity of the Chinese real estate markets. Additionally, numerous financial analysts deemed that Asian financial market, especially, the great Chinese area (namely, mainland China, Hong Kong, Taiwan) markets are linked with U.S. financial market. These facts motivate this study to examine the impact of the U.S. real estate and stock markets on the great China area's real estate and stock markets.
This study uses the cointegration test, Granger causality test, Vector Autoregression (VAR) model, Vector Error Correction model (VECM) and GARCH model to examine the relationship between real estate and stock markets in the U.S., Hong Kong, mainland China and Taiwan from June 2004 to December 2012. In order to examine the impact of financial tsunami occurred in 2008 on the real estate and stock markets of these four areas, this investigation divides the entire sample period into two sub-periods: the 1st sub-period runs from June 2004 to August 2008, while the second sub-period runs from October 2008 to December 2012. Empirical results are summarized below:
1. There is a long-term equilibrium relationship between real estate and stock markets in the United States, while there are no long-term relationship between these two markets in Taiwan and Hong Kong. However, there is a long-term equilibrium relationship between these two markets in mainland China during the period after financial tsunami only.
2. The VECM test indicates that the coefficient of error correction in the real estate market in mainland China is significantly negative during the second sub-period, suggesting that the real estate market in mainland China becomes stable after financial tsunami period. However, the U.S. real estate market was unstable during the second sub-period.
3. Empirical findings indicate that the stock markets unilaterally affect the real estate markets in the U.S., mainland China and Hong Kong. However, there is a bi-directional relationship between stock and real estate markets in Taiwan. This study also finds that the real estate market in the U.S. unidirectionally affects that in mainland China, while the real estate market in mainland China has bidirectional relationship with that in Hong Kong. Empirical result also show that the real estate market in Hong Kong unilaterally affects that in the U.S. during the second sub-period.
4. This investigation also finds that asymmetric volatility exists in both Taiwan’s and Hong Kong’s real estate markets through E-GARCH model. These real estate markets are very sensitive to bad news. The volatility rate of the real estates is more fluctuate during the house price falling period than during the price rising or flattening period. Especially, asymmetric volatility exists in Taiwan no matter what time before or after financial tsunami period.
| Identifer | oai:union.ndltd.org:TW/101CYCU5121042 |
| Date | January 2013 |
| Creators | Wei-Lin Chu, 朱薇霖 |
| Contributors | Wei-Shan Hu, 胡為善 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 52 |
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