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1、區隔或整合？台灣股票市場與不動產市場之互動SegmentedorIntegrated?TheInteractionbetweenTaiwanStockMarketandRealEstateMarket陳明吉、楊智元Ming-ChiChenandChih-YuanYangAbstractAsthetwomaincomponentsofhouseholdportfolios,stocksandrealestatearelikelytocatchpeople’sattention.Althoughthenumberofext
2、antstudiesontheinteractionbetweenthestockandrealestatemarketsislarge,theviewsandempiricalevidenceinthosestudiesshowinconsistentresults.Thispaperprovidesanexplanationfortheinconsistentresults:marketimperfection.Whenthetransactionbenefitfromthedisequilibriumbetwee
3、nthestockandrealestatemarketscancoverthepotentialcostresultingfrommarketimperfection,therelationshipbetweenthestockandrealestatemarketsisintegrated.Butwhenthereisslightdisequilibrium,thepriceofrealestatewillnotconvergesincethetradingbenefitcannotcoverthecostoftr
4、ansaction;asaresult,therelationshipissegmented.Keywords:marketimperfection,stockmarket,realestatemarket,thresholdvectorerrorcorrectionmodel(TVECM).321.IntroductionWhatistherelationshipbetweenthestockandrealestatemarkets?Becausestocksandrealestatearetwoofthemainc
5、omponentsofhouseholdportfolios,thisquestionlikelytocatchpeople’sattention—andresearchersarenoexception.Whilepriorliteraturefocusingontheinteractionbetweenthestockandrealestatemarketsisextensive,theviewsandempiricalevidenceinthosestudiesshowinconsistentresults.On
6、egroupofresearchershassupportedtheviewthatthereisaconnectionbetweenthesetwoassetmarkets(e.g.LiuandMei(1992),andLiandWang(1995)),whileadifferentgroupofeconomistshasclaimedthatthetwomarketsareseparateandthatsuchaconnectiondoesnotexist(e.g.Goodman(1978,1981),Ibbots
7、onandSiegel(1984),Geltner(1990),andRossandZisler(1991)),andsomestudiesevenhaveshownmixedresults(e.g.Liu,Hartzell,Greig,andGrissom(1990),andLingandNaranjo(1999)).Theseconflictingresultscausethispapertowonderwhethersomekeyfactorshavebeenoverlooked.Itisunlikelythat
8、thestockandrealestatemarketsareuncorrelatedbecauseofthewealtheffect,investingsubstitution,andfinancialliberalization.Thelargedeclineinthestockandhousingmarketsthatwas
