| Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan | |
|---|---|
| 學年 | 105 |
| 學期 | 2 |
| 出版（發表）日期 | 2017-02-01 |
| 作品名稱 | Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Wang, Yih-Chang; Ran Huang; Chien-Chung Nieh; Hong-Kou Ou |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | 2017 International Conference on Applied System Innovation (ICASI), Sapporo, 2017, pp. 1611-1614. |
| 摘要 | This paper investigates short-run dynamic interactions between real estate investment trust (REIT) index and stock market index in Taiwan over the 2006-2015 periods. In addition to traditional linear analysis, the recently developed models are applied to explore the possible short-run non-linear linkage between the two indexes. The results of linear Granger causality tests show weak evidence of linear causality from REIT index to stock index. Further analysis from non-linearGranger causality test sreveals no causality between the two indexes. These findings have important implication for investors. |
| 關鍵字 | Real estate;REIT;Stock index;Causality;Mackey-Glass |
| 語言 | en |
| ISSN | 2352-5401 |
| 期刊性質 | 國外 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117134 ) |
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