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
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 )