| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 102 === Abstract
Along with the rapid growth of Hong Kong, Shanghai and Taipei for the past four decades, excessive capital flew into these three regions, causing the rapid development of the housing market and dramatic increase in the housing price. Consequently, the topic of overheating housing market, and the phenomenon of housing bubble becomes major concern for the academics and practionists, which also motivates this research.
This study uses the cointegration test, Granger causality test, Vector Error Correction model (VECM), Vector Autoregression (VAR) and impulse response function (IRF) to examine the relationship among the housing markets, stock markets and macroeconomic factors in Hong Kong, Shanghai and Taipei from January 2004 to December 2013. Finally, this investigation uses the recursive regression method to examine the possibility of housing bubble phenomenon.
Empirical findings are summarized below: (1) There is a long-term equilibrium relationship among housing markets, stock markets and macroeconomic factors in Taipei and Hong Kong. However, there is a short-term relationship between housing markets and macroeconomic factors in Shanghai. (2) According to Granger Causality test results, Taipei’s stock markets affects its housing market; Shanghai’s stock markets and inflation influence its housing market, and Hong Kong’s inflation impacts its housing market. However, GNP does not affect housing markets in all three regions. Empirical also show that the housing market in Taipei unilaterally affects that in Hong Kong. (3) IRF result indicates that the most significant impact for these three regions arising from their own housing markets. Findings also show that the housing market in Taipei positively affects those in Hong Kong and Shanghai. However, the housing market in Taipei positively affects those in Hong Kong and Shanghai have mutual-effects for the short-term period. Finally, the recursive regression results show that there were bubble phenomenon in Taipei during the periods of Sep. 2010 to June 2011 and March 2013 to Dec.2013; while there was a bubble phenomenon in Hong Kong during the period of Dec. 2007to July 2008. However, there is no bubble phenomenon in Shanghai because the lasting time of rising price less than 5 months.
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