1.1.

1 (1998-08 2017-03)

()

1
 70

12000

2~4

76

77 10

80 90

()

2
(1991)

1996)

(1997)

(2000)

(2010)

2001)

(1995)

()(

(2001)

()

3
 1.2.1

(2017-02-02)

4
 1.2.2

(2017-02-02)

1.2.3

1.4.1

Hartzell ,Greig ,Liu, Grissom1990

(capital asset pricing modelCAPM)

1978~1986

Gyourko and Keim(1992)(integrated market)

Okunev and Wilson(1997) 1973 1 1993 12

OkunevWilson and Zurbruegg(2000)

S&P500 1972 1 1998

12

Oppenheimer and Grissom(1998)Larson(2005)

REITs()

REITs

(,1989)

(,

2001)(1991) 1985 1

1989 12

(1995) Granger

(1996)

(2001) Granger

(2000)

()

9
(2004)

(2004)

(2007)(1991 2006 )

2000 Johansen

Granger

()

10


(2001)(

1995)

1990

(2001)

Granger (Granger Causality Test)

Granger
11
(serial correlation)

T
{ y t }t=1 Corr( y i , y j )0
(,2013)

(stationary)

(nonstationary)

(ordinary least

square,OLS)(Spurious Regression)

Granger and Newbold(1974)

2
R
2
(stochastic trend) R t F

(unit root

test)(unit root)

(Cointegration Test)

(cointegration relationship)

(Error Correction Term)(mis-specified)

Granger

()
12


(stochastic trend)

(take difference) d

d d (integrated of order d)

y t ~ I (d )

ADF (Augmented Dickey-

Fuller test) PP (Phillips-Perron test)

(1) Augmented DickeyFuller

Augmented DickeyFuller ( ADF )

1. (random walk)
p
y t =y t1 + iy ti + t
i=1 (3.1 )

2. (random walk with drift)

p
y t = 0 + y t 1 + iy t i + t
i =1 (3.2 )

3. (random walk with drift around a stochastic trend)

p
y t = 0 + 1 t + y t 1 + iy t i + t
i=1 (3.3 )

13
 t
0

p AIC(Akaike information criterion)

p
iyti
i=1 ADF (augmented part)

H 0 : =0
()

H 1 : < 0
()

yt
ADF

(2) PhillipsPerron

PhillipsPerron ( PP )

(nonparametric) ADF
y t =a 0 +a 1y t1 + t
1. (3.4 )

T
2. ( )
y t =a^ 0 + a^ 1y t 1 + a^ 2 t
2
+ t
(3.5 )

T
t E( )=0 t

14
 H 0 :a 1=1 ( a^ 1 =1)
()

H 1 :a1 <1 ( a^ 1 <1)

()

()

(integrated of order zero)

I( 0) y t ~ I (0 ) yt

I(1) z t ~ I (1)
(integrated of order one)

I(1)

I( 0)

(common

stochastic trend)

Engle Granger(1987)

Engle and Granger(1987)(tow-

stage cointegration test) Johansen (1988) (trace test)

(maximum eigenvalue test)

1.

Engle and Granger(1987)

15
 I(1)

xt zt
(OLS)

x t = 0 + 1 z t +et
(3.6 )

{e^ t }
ADF

n
e^ t =a0 +a1 e^ t1 + ai+1 e^ t1 + t
i=1 (3.7 )

H 0 :a 1=0 xt zt
( )

H 1 :a1 <0 xt zt
( )

2. Johansen

Johansen(1988)

(maximum likelihood cointegration test)

p n (Vector

Autoregressions, VAR)

y t = 1 y t1 +2 y t2 ++ p y t p + t
(3.8 )

D j= s
=(1)=( I 1 2 p )
s= j+1

( p)
VAR (Vector Error Correction Model ,

VECM)

16
 p1
y t =yt1 + D j y t j + t
j=1 (3.9 )

(impact matrix) (rank)

=n y t ~ I (0 )
(1) rank( ) (full rank)

=0 y t ~ I (1)
(2) rank( ) (null rank)

=r 0<r < n yt r
(3) rank( )

yt yt
(1) VAR (2)

VAR (3) Granger Representation

'
=
(3.10 )

'y t1
(error correction

term) Johansen (Johansen

test)

Johansen

1(Trace Test)
H0: r r
( )

H1: n n
( )

17
 n
trace (r)=T log(1 ^ j )
j=r +1 (3.11 )

H0 ^ , ^ ,, ^ trace (r)
r +1 r+2 n
0

H1 log(1 ^ j )<0

trace (r)

2(Max Test)
H0: r r
( )

H1: r +1 r +1
( )

max(r , r+1 )=T log(1 ^r+1 )

(3.12 )

H0 ^ max (r , r+1 )
r +1
0

H0
0

()Granger

Granger (Granger causality)

Granger

(predictive causality) x y x

y x

18
y

xt yt
Granger

xt yt

xt yt
Granger

xt yt

p p
x t =0 + i x ti + j y t j +u t
i=1 j=1 (3.13 )

p p
y t = 0 + k x t k + l y tl +v t
k =1 l=1 (3.14 )

ut vt p
( )

yt xt

H 0 : 1 =2 = 3 == p =0

H1: j
0

yt xt

xt yt

H 0 : 1 = 2 = 3== p =0

19
 H 1 : k
0

xt yt

Granger

20
(TEJ) 2000 2016 68

4.1.1

96.02 136.77 69.43

22.9069 5% 5%

3Jarque-Bera

5%

7215.2826 9854.95 3636.94 1590.0571

10% Jarque-Bera

21
 4.1.1

96.02 7215.2826

136.77 9854.95

69.43 3636.94

22.9069 1590.0571

0.4759** -0.3405

-1.3030** -0.9229

J-B 7.3770** 3.7268

1. *** 99%

** 95%

* 90%

2. (excess kurtosis)

3. J-B Jarque-Bera

ADF PP

ADF PP

lag lengthbandwidth

ADF

(a)

22
 p
y t = 0 + 1 t + y t 1 + iy t i + t
i=1

(b)
p
y t = 0 + y t 1 + iy t i + t
i =1

(c)
p
y t =y t1 + iy ti + t
i=1

PP

(a)

( T2 )+
y t =a^ 0 + a^ 1y t1 + a^ 2 t t

(b)

y t =a 0 +a 1y t1 + t

(c)

y t =a 1y t1 + t

23
 4.2.1 ADFPP

ADF PP

TWI (a) -5.1976(1)*** (a)-6.5120(0)*** (a) -4.9200(2)*** (a)-6.4168(2)***

(b) -2.4962(1) (b)-6.5303(0)*** (b) -2.5625(3) (b)-6.4431(2)***

(c)-0.5550(0) (c)-6.5824(0)*** (c) -0.5549(0) (c)-6.5024(2)***

TWRE (a)-2.6434(5) (a)-3.8399(4)** (a)-2.4542(5) (a)-7.7978(5)***

(b) 0.1188(0) (b)-3.6764(4)*** (b)-0.0780(5) (b)-7.7707(5)***

(c) 2.0404(5) (c)-3.0113(4)*** (c) 1.6582(5) (c)-7.5101(5)***

:1. (a)(b)(c)

TWI TWRE

2.*** 99%** 95%* 90%

3. ADF Schwarz Info Criterion PP

Bartlett kernel

4.2.1 ADF PP

I(1)

24
 4.2.1

4.2.2

25
 4.2.3

4.2.4

26

I(1)

Johansen (1988)

4.3.1

4.3.1

H0 lmax ltrace
Critical Value

r =0 36.3115*** 59.6969*** 20.1600

r 1 23.3854*** 23.3854*** 9.1400

1.*** 99%** 95%* 90%

lmax ltrace
2.

4.3.1 r=0 max trace

Granger

27


4.4.1

j
Granger 0

k j
0

4.4.1

T F
0.0015 2.2615 **
4.5246**
-0.9182 -6.2286 ***
0.4489
1.*** 99%** 95%* 90%

4.4.1 Granger

T 5%

0.15%

T 1%

91.82%

F 4.5246

F 0.4489

28


I(1)

Granger

29


""

30


(1995)

(VAR) 143-

159http://nccur.lib.nccu.edu.tw/handle/140.119/104713

(2004)()

(1996)()

(2013)

(1989)()

(1997)-

(1995)-Granger (

(2010)?(

(2007)

(2001)-(

(2000)()

(2004)()

31
(1990)()

Dickey,D.A. and W.A. Fuller (1979),Distribution of the Estimators for Autoregressive

Time Series with a Unit Root, Journal of the American Statistical Association, 74,427-

431.

Engle, R. F. and C. W. J. Granger (1987),Cointegration and Error Correction:

Representation, Estimation, and Testing , Econometrica, 55, 251-276.

Granger, C. W. J. (1969).Investigating causal relations by econometric models and cross-

spectral methods, Econometrica (Econometrica, Vol. 37, No. 3)37(3), 424-438.

Granger,C.W.J. and P. Newbold(1974),Spurious regress in econometrics, Journal of

Econometrics,2,111-120.

Gyourko ,J and Keim,D,(1992),What Does the Stock Market Tell Us About Real

Returns,Journal of the American Real Estate Finance and Urban Economics

Association,20(3),457-486.

Johansen,S. (1988) Statistical analysis of cointegration vector,Journal of Economic

Dynamics and Control,12, 231-254

Larson, S.(2005). "Real Estate Investment Trusts and Stock Price Reversals" . Journal

of Real Estate Finance & Economics, 30, 81 -88.

Liu, C. H., D. J. Hartzell, W. Greig, and T. V. Grissom (1990), "The integration of the

real estate market and the stock market:some preliminary evidence", Journal of

Real Estate Finance and Economics, 3, 261282.

Okunev, j and P. Wilson (1997),Using nonlinear tests to examine integration between

real estate and stock markets Real Estate Economics, 253,487-503 .

Okunev, J., P. Wilson and R. Zurbruegg (2000), "The causal relationship between real

estate and stock markets", Journal of Real Estate Finance and Economics, 21,

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Oppenheimer, P. and T. V. Grissom (1998). "Frequency Space Correlation Between

REITs and Capital Market Indices", Journal of Real Estate Research 16(3):

291-309.

Phillips, P.C.B and P. Perron (1988), "Testing for a Unit Root in Time Series Regression",

Biometrika, 75, 335346

33