本文利用單根檢定 (unit root test)、向量自我迴歸模型 (vector autoregressive model, VAR) 及 Granger 因果關係檢定 (Granger causality test) 探討臺灣股價指數及房價指數之關聯性，並輔以中央銀行五大銀行新承作購屋貸款利率，進而了解三者變數如何影響。本研究樣本期間為2012年8月至2021年10月，資料頻率為月資料。實證結果經向量自我迴歸模型 (VAR) 探討股價指數、房價指數與利率得到結果顯示房價指數確實受股價指數及利率等變數影響。另由 Granger 因果關係檢定得知房價指數對股價指數在新北市及台中市互為因果關係，其他四直轄市呈現獨立關係。本研究結果股票市場在新北市及台中市確實會牽動不動產市場，其他四個直轄市則呈現獨立關係，股價指數與房價指數兩者資產之長期走勢並無其相關性。

Unit root test, vector autoregressive model (VAR) and Granger causality test are used in this thesis, investigating the relationship between Taiwan stock price index and Taiwan housing price index .Moreover, undertaking the five major banks’ house loan interest rate from central bank to understand the effect of three variables. The period of the sample starts from August 2012 to October 2021 under monthly basis. After using VAR investigating the stock price index, housing price index and interest rate, the empirical result mentioned that the housing price index is affected by the stock price index and interest rate. Furthermore, the cause-and-effect relationship between housing price and stock price index in New Taipei City and Taichung City were found by the Granger causality test, while the other four municipalities are independent. The final result of the thesis mentioned that stock market in New Taipei City and Taichung City affects the real estate market. On the other hand, the other four municipalities are independent, the index of the stock price and the housing price are not correlated in the long-run trend.

1. 前言…………………………………………………………………………………………………………………………………………………1
2. 文獻回顧………………………………………………………………………………………………………………………………………4
3. 研究方法………………………………………………………………………………………………………………………………………6
3.1 單根檢定 (unit root test)………………………………………………………………………………………6
3.2 向量自我迴歸模型 (vector autoregressive model, VAR)……………………7
3.3 Granger 因果關係檢定 (Granger causality test)……………………………………8
4. 實證結果………………………………………………………………………………………………………………………………………10
4.1 資料來源與敘述統計結果…………………………………………………………………………………………………10
4.2 實證結果……………………………………………………………………………………………………………………………………16
4.2.1 單根檢定(unit root test)……………………………………………………………………………………16
4.2.2 向量自我迴歸模型 (vector autoregressive model, VAR)………………17
4.2.3 Granger 因果關係檢定 (Granger causality test)……………………………27
5. 結論與建議…………………………………………………………………………………………………………………………………33
參考文獻………………………………………………………………………………………………………………………………………………35

1. 林淑苑 (2018)，「房價指數、股價指數、REIT與利率之連動性分析」，碩士論文，台中市：嶺東科技大學財務金融系碩士班，台中市。
2. 林晏岑 (2016)，「臺灣貨幣、所得、股價與房價之因果關係檢定」，碩士論文，台北市：銘傳大學會計學系。
3. 林聰賢 (2007)，「STVEC-GARCH模型之建立、估計與應用─台灣地區股價、房價與利率關聯性之研究」，碩士論文，新北市：台北大學統計學系。
4. 林慧芬 (2008)，「股價與房價關係之研究－以中國大陸市場為例」，碩士論文，台中：逢甲大學財務金融所。
5. 曾淑雲 (2016)，「股價指數、經濟成長率和房價指數的因果關係檢定：台灣、中國、日本、韓國、新加坡、馬來西亞」，碩士論文，台中市：逢甲大學財稅系碩士班。
6. 蔡怡純與陳明吉 (2013).，「房價指數與股價指數的波動性差異及不對稱相關：門檻波動性與共整合模型實證分析」,《財務金融學刊》, 21(4), 25-57。
7. Akaike, H. (1974). “A new look at the statistical model identification.” IEEE Transactions on Automatic Control, 19, 716-723.
8. Aye, G. C., Balcilar, M., & Gupta, R. (2013). “Long-and short-run relationships between house and stock prices in South Africa: A nonparametric approach,” Journal of Housing Research, 22(2),203-219.
9. Granger, Clive W. J. (1969). “Investigating causal relations by econometric model and cross spectral methods,” Econometrics, 37, 424-438.
10. Granger, Clive W. J. and Newbold, P. (1974). “Spurious regression in econometrics,” Journal of Econometrics, 2(2), 111-120.
11. Sims, C. A. (1980). “Macroeconomics and Reality,” Econometrica, 48, 1-48.
12. Tsai, I. C. and M. C. Chen (2013). “Asymmetric Correlation and Difference between the Volatility of Housing and Stock Price Indexes: Analysis Based on the Threshold Volatility and Cointegration Model,” Journal of Financial Studies, 21, 25-57.
13. Quan, D. C., & Titman, S. (1999). “Do Real Estate Prices and Stock Prices Move Together? An International Analysis,”Real Estate Economics, 27(2), 183-207.
14. Yuksel, A. (2016). “The relationship between stock and real estate prices in Turkey: Evidence around the global financial crisis,” Central Bank Review,16(1), 33-40.