| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 96 === These theses whether examine the property stock investors are overconfident or underconfident. This thesis firstly use VAR model and the empirical result shows that the property stock investors existed overconfidence investment behavior in the bull market, especially in low-price stock. However, this kind of behavior does not exist in the bear market. The result also shows that most of turnover rate are driven by market return rather than property stock return. this represents investors purchase (or sell) the property stock is caused by the market goes up (or down) rather than have perspective in the property stock. The result implied the property stock investor had speculative trading in short term. In long term, investors have insufficient faith in the real estate market. Next, this thesis use EGARCH and the result shows that the overconfidence investors’ excessive trading will increase volatility, and will harm the development of industry. Finally, we discussed the main factor of investors’ underconfidence in property industry, found political environment as well as long recession are the factors.
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