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A Straightforward Approach to Estimate the Abnormal Return in Taiwan

A Straightforward Approach to Estimate the Abnormal Return in Taiwan

Shih-Yung Wei, Nan-Yu Chu, Wei-Chiang Hong
Copyright: © 2014 |Volume: 5 |Issue: 4 |Pages: 10
ISSN: 1942-3594|EISSN: 1942-3608|EISBN13: 9781466652422|DOI: 10.4018/IJAEC.2014100103
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MLA

Wei, Shih-Yung, et al. "A Straightforward Approach to Estimate the Abnormal Return in Taiwan." IJAEC vol.5, no.4 2014: pp.34-43. http://doi.org/10.4018/IJAEC.2014100103

APA

Wei, S., Chu, N., & Hong, W. (2014). A Straightforward Approach to Estimate the Abnormal Return in Taiwan. International Journal of Applied Evolutionary Computation (IJAEC), 5(4), 34-43. http://doi.org/10.4018/IJAEC.2014100103

Chicago

Wei, Shih-Yung, Nan-Yu Chu, and Wei-Chiang Hong. "A Straightforward Approach to Estimate the Abnormal Return in Taiwan," International Journal of Applied Evolutionary Computation (IJAEC) 5, no.4: 34-43. http://doi.org/10.4018/IJAEC.2014100103

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Abstract

The fluctuation of real estate prices has been a subject of public attention, and related studies are often unable to effectively measure changes due to limitations in information acquisition and modeling. In fact, the existence of abnormal return of the real estate market can be regarded as an important indicator of fluctuations in prices or a bubble. Therefore, based on the Capital Asset Pricing Model, combined with time series analysis, this paper establishes a more convenient method of analysis to explore price changes of Taiwan's real estate market from 1998 to 2012. The empirical results show that there is no abnormal return in Taiwan's overall real estate price changes. However, in major metropolitan areas, abnormal return does exist, and such a trend became more evident after the financial tsunami. By region, the abnormal return rate of New Taipei City has become gradually higher than Taipei City. The findings are consistent with the recent development of the real estate market of the Taipei region, and thus, are worth the attention of the government and relevant sectors.

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