Using ARDL Model to Study the Relationship between House Price and Stock Price in Taiwan

• Main Authors: YU-CHIEH KUNG, 龔鈺絜
• Other Authors: Ming-Long Lee
• Format: Others
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/cpzjjf

碩士 === 國立東華大學 === 財務金融學系 === 105 === Study the relationship between house prices and stock prices in Taiwan, Applying Augmented Dickey–Fuller test (ADF) unit root test, use autoregressive distributed-lag model (ARDL) to test long - term equilibrium relationship and observe prices transmission. Adding the error correction model (ECM) to correct the short-term imbalance when there is a long-term equilibrium relationship. Comparison of symmetric models the impact of stock prices on the house prices, the asymmetric model that the positive and negative impact of stock price , and partial symmetry models. The result reveal asymmetric and partial symmetry models are more ability to find long-term equilibrium and causal relationships between house prices and stock prices than symmetric models. Asymmetric and partial symmetry model found different regional prices and different types of stock prices to support the wealth effect and capital transfer effect.