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題名:Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model
書刊名:財務金融學刊
作者:蔡怡純 引用關係陳明吉 引用關係
作者(外文):Tsai, I-chunChen, Ming-chi
出版日期:2013
卷期:21:4
頁次:頁25-57
主題關鍵詞:房價股價指數不對稱波動性門檻共整合House pricesStock market indexWealth effectThresholdCointegration
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:35
期刊論文
1.Tsai, I-Chun、Chen, Ming-Chi(2008)。An Analysis of the Asymmetric Volatility of Real Estate Price in the Taipei Area。Journal of Housing Studies,17(2),1-11。  new window
2.Tsai, I-Chun、Lee, Cheng-Feng、Chiang, Ming-Chu(2012)。The asymmetric wealth effect in the US housing and stock markets: evidence from the threshold cointegration model。Journal of Real Estate Finance and Economics,45(4),1005-1020。  new window
3.Brueggeman, William B.、Chen, Andrew H.、Thibodeau, Thomas G.(1984)。Real Estate Investment Funds: Performance and Portfolio Considerations。Journal of the American Real Estate and Urban Economics Association,12,333-354。  new window
4.Chen, Ming-Chi、Liao, Mao-Chen(2005)。Relationship of Asset Markets and Wealth Effect-An Analysis of Taiwan Stock and Real Estate Market。Journal of the Land Bank of Taiwan,42,25-42。  new window
5.Chen, Ming-Chi、Tseng, Wan-Ting(2008)。An Examination of Herding Behavior in the Taiwan Real Estate Market。Journal of Management Systems,15,591-615。  new window
6.Duffee, Gregory R.(1995)。Stock Returns and Volatility。Journal of Financial Economics,37,399-420。  new window
7.Glascock, John L.(1991)。Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence。Journal of Real Estate Finance and Economics,4(4),367-373。  new window
8.Goldstein, Michael A.、Nelling, Edward F.(1999)。REIT Return Behavior in Advancing and Declining Markets。Real Estate Finance,15,68-77。  new window
9.Gu, Anthony Y.(2002)。The Predictability of House Prices。Journal of Real Estate Research,24,213-234。  new window
10.Kapopoulos, Panayotis、Siokis, Fotios(2005)。Stock and Real Estate Prices in Greece: Wealth vs 'Credit-Price' Effect。Applied Economics Letters,12(2),125-128。  new window
11.Kroner, Kenneth F.、Ng, Victor K.(1998)。Modelling Asymmetric Comovements of Asset Returns。The Review of Financial Studies,11,817-844。  new window
12.Kuhle, James L.(1987)。Portfolio Diversification and Returns Benefits--Common Stock vs. Real Estate Investment Trusts。Journal of Real Estate Research,2,1-9。  new window
13.Liu, Crocker H.、Hartzell, David J.、Greig, Wylie、Grissom, Terry V.(1990)。The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence。Journal of Real Estate Finance and Economics,3,261-282。  new window
14.Nieh, Chien-chung、Zheng, Jia-yin(2000)。Linear and Nonlinear Relationships between Real Estate and Stock Markets: Evidence from Taiwan。Journal of the Land Bank of Taiwan,37,29-45。  new window
15.Ong, Seow Eng(1995)。Singapore Real Estate and Property Stocks--A Co-integration Test。Journal of Property Research,12,29-39。  new window
16.Rubens, Jack H.、Bond, Michael T.、Webb, James R.(1989)。The Inflation-Hedging Effectiveness of Real Estate。Journal of Real Estate Research,4(2),45-56。  new window
17.Koutmos, Gregory、Saidi, Reza(1995)。The Leverage Effect in Individual Stocks and the Debt to Equity Ratio。Journal of Business Finance & Accounting,22,1063-1075。  new window
18.Chen, N.-K.(2001)。Asset Price Fluctuations in Taiwan: Evidence from Stock and Real Estate Prices During 1972-1992。Journal of Asian Economics,12(2),215-232。  new window
19.Green, Richard K.(2002)。Stock Prices and House Prices in California: New Evidence of a Wealth Effect?。Regional Science and Urban Economics,32(6),775-783。  new window
20.Okunev, John、Wilson, Patrick J.、Zurbruegg, Ralf(2002)。Relationships Between Australian Real Estate and Stock Market Prices: A Case of Market Inefficiency。Journal of Forecasting,21(3),181-192。  new window
21.Davies, R. B.(1987)。Hypothesis Testing When a Nuisance Parameter is Present Only under the Alternatives。Biometrika,74(1),33-43。  new window
22.Hansen, Bruce E.、Seo, Byeongseon(2002)。Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models。Journal of Econometrics,110(2),293-318。  new window
23.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
24.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics,11(6),601-618。  new window
25.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
26.Okunev, John、Wilson, Patrick J.(1997)。Using Nonlinear Tests to Examine Integration between Real Estate and Stock Markets。Real Estate Economics,25(3),487-504。  new window
27.Officer, Robert R.(1973)。The Variability of the Market Factor of the New York Stock Exchange。Journal of Business,46(3),434-453。  new window
28.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
29.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
30.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
31.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
32.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
33.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
34.Case, K. E.、Shiller, R. J.(1989)。The Efficiency of the Market for Single-Family Homes。The American Economic Review,79(1),125-137。  new window
35.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
36.Hartzell, David J.、Hekman, John S.、Miles, Mike E.(1987)。Real Estate Returns and Inflation。The Journal of the American Real Estate and Urban Economics Association,15(1),617-637。  new window
37.Genesove, David、Mayer, Christopher(2001)。Nominal loss aversion and seller behavior: Evidence from the housing market。Quarterly Journal of Economics,116(4),1233-1260。  new window
38.Ando, Albert、Modigliani, Franco(1963)。The 'Life Cycle' Hypothesis of Saving: Aggregate Implications and Tests。American Economic Review,53(1),55-84。  new window
39.Glascock, John L.、Michayluk, David、Neuhauser, Karyn(2004)。The Riskiness of REITs Surrounding the October 1997 Stock Market Decline。Journal of Real Estate Finance and Economics,28(4),339-354。  new window
40.Ibbotson, Roger G.、Siegel, Laurence B.(1984)。Real Estate Returns: A Comparison with other Investments。Journal of the American Real Estate and Urban Economics Association,12(3),219-242。  new window
會議論文
1.Tsai, I-Chun、Wang, Wen-Ting(2010)。A Re-examination of the Relationship between the Housing and Stock Markets in Taiwan: A Panel Cointegration Approach。19th Chinese Society of Housing Studies Annual Conference。  new window
2.Chen, Ming-Chi、Tsai, I-Chun(2009)。Asymmetric Adjustment of House Price。Global Chinese Real Estate Congress (GCREC) 2009 Conference。  new window
3.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
研究報告
1.Figlewski, Stephen、Wang, Xiaozu(2000)。Is the “Leverage Effect” a Leverage Effect?。  new window
 
 
 
 
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