教師資料查詢 | 類別: 期刊論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題: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
語言英文
ISSN2352-5401
期刊性質國外
收錄於EI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
相關連結
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