A Study of Property Derivatives：
An Empirical Analysis of Housing Price Index in Taiwan

ASIAIR > College of Management > Department of Finance > Proceedings > Item 310904400/63611

Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63611

Title:	A Study of Property Derivatives： An Empirical Analysis of Housing Price Index in Taiwan
Authors:	廖志峰
Contributors:	中正大學財務?融學系
Keywords:	property indices,derivatives,housing price index
Date:	2010
Issue Date:	2013-08-07 01:18:28 (UTC+0)
Abstract:	This study focuses on property derivatives that grow rapidly after 2005. According to maximum likelihood estimations, this paper uses Cathay Real Estate Price Index (pre-sales and new housing) and Sinyi Housing Price Index (existing housing) to study property derivatives pricing model in Fabozzi, Shiller, and Tunaru (2009). The sample period is from the first quarter of 1998 to the third quarter of 2009. The empirical results show that the process of Cathay Real Estate Price Index follows the mean reverting assumption of real estate index on logarithmic scale. Compare with Sinyi Housing Price Index, Cathay Real Estate Price Index is applicable to property derivatives pricing model in Fabozzi, Shiller, and Tunaru (2009). This result will help to the pricing of Taiwan property derivatives. Furthermore, this paper also provides the suggestions on the development of Taiwan property derivatives.
Relation:	2010中部學術財金研討會論文發表
Appears in Collections:	[Department of Finance] Proceedings

Files in This Item:

There are no files associated with this item.