華人地區房市與股市投資績效比較：隨機優勢之應用

在新興市場崛起之時，華人地區經濟地位越來越重要，其房市與股市相對蓬勃發展，已成為研究主流，所以分析華人地區(本文係指臺灣、香港及大陸地區而言)房市與股市發展 ... 資料載入處理中... 跳到主要內容 臺灣博碩士論文加值系統 ::: 網站導覽| 首頁| 關於本站| 聯絡我們| 國圖首頁| 常見問題| 操作說明 English |FB專頁 |Mobile 免費會員 登入| 註冊 功能切換導覽列 (188.166.176.73)您好！臺灣時間：2022/09/1718:57 字體大小：       ::: 詳目顯示 recordfocus 第1筆/ 共1筆  /1頁 論文基本資料 摘要 外文摘要 目次 參考文獻 紙本論文 QRCode 本論文永久網址: 複製永久網址Twitter研究生:張榮泰研究生(外文):Jung-TaiChang論文名稱:華人地區房市與股市投資績效比較：隨機優勢之應用論文名稱(外文):ThePerformanceComparisonbetweenHousingMarketandStockMarketinChineseRegion：AnApplicationofStochasticDominanceTests指導教授:周百隆指導教授(外文):Pai-LungChou學位類別:博士校院名稱:國立高雄第一科技大學系所名稱:財務金融研究所學門:商業及管理學門學類:財務金融學類論文種類:學術論文論文出版年:2012畢業學年度:100語文別:中文論文頁數:86中文關鍵詞:隨機優勢、股市、房市、華人地區外文關鍵詞:StochasticDominance、ChineseRegion、HousingMarket、StockMarket相關次數: 被引用:2點閱:228評分:下載:0書目收藏:0 在新興市場崛起之時，華人地區經濟地位越來越重要，其房市與股市相對蓬勃發展，已成為研究主流，所以分析華人地區(本文係指臺灣、香港及大陸地區而言)房市與股市發展情形，是本文研究動機之一。

自2008年發生全球金融海嘯以來，陸續又發生歐洲主權債信危機，導致景氣逐漸衰退，股市價格波動劇烈，投資人對股市投資，很難維持長期穩定投資績效，相對而言，房市因具有居住與異質性功能，其價格相較穩定，惟政府為遏制房市投機，其態度與調控措施將影響房市甚巨，因此，對長期投資而言，房市對股市是否具隨機優勢，是非常重要研究議題。

本文目的在探討華人地區房市與股市投資績效之比較，並以隨機優勢理論進行實證研究，其實證方法，先以隨機優勢演算法則之累加機率均等分配法，初步演算比較結果，然後，再以隨機優勢檢定方法加以確認。

本文以1996年至2011年為研究期間經實證顯示華人地區各區別之房市投資績效優於股市，存在隨機優勢；另外，就華人地區房市與股市六大市場綜合投資績效比較而言，臺灣房市及大陸房市最具投資績效，其次為香港房市，其他則不存在隨機優勢；最後，經2003年為分段點之穩健性檢定得知，在不同樣本期間中，華人地區房市投資績效仍優於股市，存在隨機優勢，明顯支持華人地區「有土斯有財」觀念。

就投資意涵而言，房市是人生必需品，投資人在做投資組合時，應加入房市產品，以增加投資組合之投資績效與穩定度。

ThegrowthofemergingmarketshasincreasedtheimportanceofeconomyinChineseRegionandthethrivinghousingandstockmarketsintheseareasarepopulartopicsofresearch.Therefore,thisstudyanalyzedthedevelopmentofthesetwomarketsinChineseRegion(representedbyTaiwan,HongKong,andMainlandChina),asoneofthemotivationsofthispaper.Sincetheglobalfinancialcrisisin2008,followedbytheEuropeansovereigndebtcrisis,hascausedadeclineintheeconomyandledtohighstockpricevolatility.Thoseinvestinginthestockmarkethavehaddifficultymaintainingstablelong-terminvestments.Incontrast,pricesinthehousingmarkethavebeenarelativelystable,duetotheresidentialfunctionsandheterogeneityofthehousingmarket.However,toconstrainspeculationinthehousingmarket,governmentshaveadoptedregulatorymeasuresthatcouldhaveasignificantinfluenceonhousingmarkets.Whetherthehousingmarketexistsstochasticdominanceoverthestockmarketforlong-terminvestmentsisanissueworthinvestigation.TheprimaryobjectiveofthisstudywastocomparetheperformanceofinvestmentsinthehousingandstockmarketsinChineseRegion.Weappliedstochasticdominancetheoryasthebasisforanempiricalstudy,whichinvolvedusingthecumulativeprobabilitydistributionmethodforpreliminarycomparisonandthenusingstochasticdominancetestsforconfirmation.Fordatafrom1996to2011,ourempiricalresultsshowthateachregionofstudy,investmentsinhousingmarketsoutperformedthoseinstockmarkets,therebydemonstratingstochasticdominance.Furthermore,acomprehensivecomparisonforinvestmentperformanceoftheChineseregionalhousingandstocksmarketinsixmarketsrevealedthatthehousingmarketsinTaiwanandMainlandChinaexhibitedthehighestperformance,followedbythehousingmarketofHongKong.Stochasticdominancewaslessprominentintheothermarkets.Finally,with2003asthesegmentationpoint,testresultsofrobustnessindicatethatamongthevarioussampleperiods,investmentsinthehousingmarketsoutperformedthoseinstockmarketsanddemonstratedstochasticdominance.Thisstronglysupportstheconceptof"landaswealth"inChineseRegion.Forinvestment,thisimpliesthathousingisanecessityoflife,wheninvestorsaremakinginvestmentportfolios,theyshouldincludehousingproductstoenhanceperformanceandstability. 目錄中文摘要.............................................................................................i英文摘要.............................................................................................ii誌謝.............................................................................................iii目錄.............................................................................................iv表目錄.............................................................................................v圖目錄.............................................................................................vii第壹章緒論.............................................................................................1?第一節研究動機與目的......................................................................1第二節研究流程與架構......................................................................5第貳章相關理論與文獻探討......................................................................7?第一節隨機優勢理論...........................................................................7第二節隨機優勢演算法則...................................................................11第三節隨機優勢檢定方法...................................................................19第四節房市與股市實證文獻...............................................................22第五節運用隨機優勢進行投資績效比較之實證文獻.......................24第參章研究方法...........................................................................................28?第一節實證方法...................................................................................28第二節資料蒐集...................................................................................37第肆章實證研究...........................................................................................42第一節實證資料說明...........................................................................42第二節實證結果...................................................................................51第三節穩健性檢定...............................................................................67第伍章結論與建議.......................................................................................75參考文獻.............................................................................................80 表目錄表2-1累加機率均等分配法計算範例......................................................13表2-2累加機率均等分配法研究範例之各階隨機優勢演算結果表......15表2-3累加報酬率均等分配法計算範例..................................................17表2-4累加報酬率均等分配法研究範例之各階隨機優勢演算結果表..18表2-5隨機優勢相關理論..........................................................................21表2-6房市與股市實證文獻......................................................................23表2-7運用隨機優勢進行投資績效比較之實證文獻…..........................26表3-1二階段檢定表..................................................................................36表3-2指數名稱、代號與資料來源..........................................................38表4-1臺灣房市與股市樣本統計量表......................................................44表4-2香港房市與股市樣本統計量表......................................................45表4-3大陸房市與股市樣本統計量表......................................................47表4-4華人地區房市與股市季投資報酬率統計量表..............................49表4-5華人地區房市與股市季投資報酬率自我序列相關檢定值表......50表4-6臺灣房市與股市各階隨機優勢演算法則結果表..........................51表4-7臺灣房市(TWH)與股市(TWS)各階隨機優勢檢定結果表...........54表4-8香港房市與股市各階隨機優勢演算法則結果表..........................55表4-9香港房市(HKH)與股市(HKS)各階隨機優勢檢定結果表............56表4-10大陸房市與股市各階隨機優勢演算法則結果表..........................57表4-11大陸房市(CNH)與股市(CNS)各階隨機優勢檢定結果表............58表4-12華人地區房市別各階隨機優勢演算法則結果表.........................59表4-13臺灣房市(TWH)與香港房市(HKH)各階隨機優勢檢定結果表...60表4-14臺灣房市(TWH)與大陸房市(CNH)各階隨機優勢檢定結果表...60表4-15大陸房市(CNH)與香港房市(HKH)各階隨機優勢檢定結果表....61表4-16華人地區房市別各階隨機優勢檢定結果表..................................61表4-17華人地區股市別各階隨機優勢演算法則結果表..........................62表4-18臺灣股市(TWS)與香港股市(HKS)各階隨機優勢檢定結果表....63表4-19臺灣股市(TWS)與大陸股市(CNS)各階隨機優勢檢定結果表....63表4-20香港股市(HKS)與大陸股市(CNS)各階隨機優勢檢定結果表......64表4-21華人地區股市別各階隨機優勢檢定結果表...................................64表4-22華人地區房市與股市六大市場各階隨機優勢演算法則結果表...65表4-23華人地區房市與股市六大市場綜合之FSD檢定結果表..............66表4-24華人地區房市與股市六大市場綜合之SSD檢定結果表..............66表4-25華人地區房市與股市六大市場綜合之TSD檢定結果表.............66表4-26華人地區房市與股市分段季投資報酬率統計量表.......................68表4-27臺灣房市與股市分段各階隨機優勢演算法則結果表...................69表4-28臺灣房市(TWH)與股市(TWS)分段各階隨機優勢檢定結果表....70表4-29香港房市與股市分段各階隨機優勢演算法則結果表...................71表4-30香港房市(HKH)與股市(HKS)分段各階隨機優勢檢定結果表.....72表4-31大陸房市與股市分段各階隨機優勢演算法則結果表...................73表4-32大陸房市(CNH)與股市(CNS)分段各階隨機優勢檢定結果表.....74 圖目錄圖1-1研究流程架構圖................................................................................6圖2-1一階隨機優勢圖................................................................................9圖2-2FSD、SSD及TSD之關係圖...........................................................11圖2-3F與G之FSD演算法則圖形(累加機率均等分配法)...................13圖2-4F與G之SSD演算法則圖形(累加機率均等分配法)...................14圖2-5F與G之TSD演算法則圖形(累加機率均等分配法)...................14圖2-6F與G之FSD演算法則圖形(累加報酬率均等分配法).................17圖2-7F與G之SSD演算法則圖形(累加報酬率均等分配法)................18圖2-8F與G之TSD演算法則圖形(累加報酬率均等分配法)................18圖4-1臺灣信義房屋價格指數走勢圖.........................................................42圖4-2臺灣加權股價指數走勢圖.................................................................43圖4-3香港私人住宅售價指數走勢圖.........................................................44圖4-4香港恆生股價指數走勢圖.................................................................45圖4-5大陸房地產開發綜合指數走勢圖.....................................................46圖4-6上海綜合指數走勢圖.........................................................................47圖4-7華人地區房市別季報酬率走勢圖.....................................................49圖4-8華人地區股市別季報酬率走勢圖.....................................................50圖4-9臺灣房市與股市報酬率之FSD累積機率分配圖............................52圖4-10臺灣房市與股市報酬率之SSD累積機率分配圖............................52圖4-11臺灣房市與股市報酬率之TSD累積機率分配圖............................53  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 國圖紙本論文 推文 網路書籤 推薦 評分 引用網址 轉寄                                                                                                                                                                                                                    top 相關論文 相關期刊 熱門點閱論文 1. 修正隨機優勢理論—以台灣股票市場進行實證 2. 臺灣期貨市場之避險績效衡量之研究 3. 亞洲主要證券市場指數投資績效之研究-隨機優勢法之應用 4. 股價，匯率和房價動態關係之研究 5. 台灣房市、股市與貨幣供給的互動影響─兼論各地區房市之關聯性   1. 1. 周百隆、林佳君，2010，投資型保險商品效率投資組合之研究，風險管理學報，第12卷第1期，P.69-P.90。

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