| Summary: | 碩士 === 國立政治大學 === 地政研究所 === 98 === Base on the Efficient Market Hypothesis, the traditional financial theory assumes the market is efficient. However, the real estate market is not. For this reason, investors could not react to market information entirely. If investors ignore their own information, they may choose to follow other peoples’ investment decisions. Therefore, this situation will lead to herding behavior of behavioral finance that may cause price volatility and unusual transactions. On account of the real estate market exists unreasonable price fluctuations for a long time in Taiwan, this thesis examines whether the herding behavior exists in Taiwan real estate market or not.
Although many researchers study the herding behavior in the stock market by using the transactions and the returns on investment, few attempts have been made to discuss the herding behavior in Taiwan housing market by using the housing transactions. Hence, this study examines the herding behavior in Taiwan housing market by establishing the Auto-regressive Distributed Lag (ARDL) model with housing transaction data.
Results found the herding behavior of real estate market do exist in the whole Taipei city and the three region of Taipei city (downtown, suburb and outskirt). And it shows the transactions in the housing market with herding behavior may be affected by user cost of housing and pre-market returns. Furthermore, the study finds some macroeconomic factors affecting the housing transactions positivity, such as economic growth rate, construction stocks index, consumer price index of house renting and consumer price index of construction engineering. On the contrary, loan interest rate of housing and consumer price index has negative influence.
To conclude, this study aims to examine the influential factors on the volatility of housing transactions though clarifying the relationship between the herding behavior, the transactions in housing market and the macroeconomic factors. It may help investors follow other peoples’ investment decisions more reasonable, and avoid blind herding behavior in real estate markets.
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