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

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题名:	A Study of Property Derivatives： An Empirical Analysis of Housing Price Index in Taiwan
作者:	廖志峰
贡献者:	中正大學財務?融學系
关键词:	property indices,derivatives,housing price index
日期:	2010
上传时间:	2013-08-07 01:18:28 (UTC+0)
摘要:	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.
關聯:	2010中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

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