關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Causality between Real Estate Market and Stock Market

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序號 學年期 教師動態
1 105/2 財金系 聶建中 教授 期刊論文 發佈 Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan , [105-2] :Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan期刊論文Causality between Real Estate Market and Stock Market: Evidence from REIT Index in TaiwanWang, Yih-Chang; Ran Huang; Chien-Chung Nieh; Hong-Kou OuReal estate;REIT;Stock index;Causality;Mackey-Glass2017 International Conference on Applied System Innovation (ICASI), Sapporo, 2017, pp. 1611-1614.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.en2352-5
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