| Summary: | 碩士 === 華夏技術學院 === 資產與物業管理研究所 === 99 === This study uses the powerful nonparametric co-integration test of Bierens (1997) to examine whether non-linear co-integration exists between the prices of used houses and the corresponding stocks in China and the Four Asian Tigers, respectively. In addition, it employs the smooth transition vector error-correction model (STVECM) to separately explore the adjustment efficiencies of the short-run house and corresponding stock return dynamics, while there is disequilibrium between the house and stock prices in these Asian areas. The empirical results indicate that there is non-linear co-integration between the house and corresponding stock prices in China, Korea, Singapore and Taiwan, and that the speed of adjustment of the house prices reverting to equilibrium is always greater than that of the stock prices when large positive and negative deviations exist in these Asian areas. Moreover, the short-run speeds of adjustment in reverting to equilibrium of the large negative and positive deviations between the house and stock returns are equal in China, Korea and Taiwan, while they are unequal in Singapore. The results of the Granger causality test also indicate that the stock prices evidently lead the used house prices in these Asian areas except in Korea. To sum up, the stock market exercises the role of price discovery. Our study confirms that the STVECM is fitted to analyze the adjustment efficiency of the short-run house and corresponding stock return dynamics reverting to equilibrium in China, Korea, Singapore and Taiwan, which provides support for noise trader models.
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