Positive Feedback Trading and Information Diffusion－A Case Study of Taipei Housing Market

• Main Authors: WANG,PEI-JHENG, 王培錚
• Other Authors: CHIANG,MING-CHU
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/mdn7xu

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === This research verifies the existence of positive feedback trading in the housing submarkets of Taipei City and investigates whether the information has spread across urban and suburban areas in Taipei City. The research uses the real estate transaction price from the fourth quarter of 2004 to the fourth quarter of 2015 to estimate hedonic prices and calculate excess returns. Second, the VAR model, Granger causality test and impulse response function are applied to test the interactions between the excess return and market information. The empirical results show that the excess returns of the housing submarket interact with market information in Taipei City. Among them, the excess returns and market information bi-directionally influence each other in the city center. Besides, lag excess returns Granger cause the current excess returns in the same housing submarket, indicating that positive feedback phenomenon exists in the city center. As to the interaction between excess returns of the housing submarkets, the empirical results suggest that the city center may be the source to transmit excess returns to the urban area and suburban area.