本研究以台灣加權股價指數，臺北市及高雄市之房價指數資料為研究摽的，自90年第1季至101年第4季共12年期間之季資料，各48筆觀測值，利用非線性模型架構，分別研究台灣加權股價指數，臺北市及高雄市之房價指數之長短期因果關係。
在研究方法上，採用以Enders and Granger（1998）門檻自我回歸模型（TAR）及動差門檻自我回歸模型（M-TAR）進行門檻共整合檢定，並進一步利用Enders and Granger（1998）及Enders and Siklos（2001）門檻誤差修正模型（TECM），來探討變數間的長短期非對稱因果關係。
實證結果發現：台灣加權股價指數，北、高兩市的房價指數均屬於I(1)的時間數列，在以北、高兩市的房價指數作為被解釋變數、台股大盤為解釋變數的情形之下，北、高兩市的房價指數與台股大盤存在共同趨勢及長期均衡關係。
台灣加權股價與北、高兩市房價指數長短期因果關係方面，以門檻誤差修正模型為基礎之實證結果台灣加權股價變動對北、高兩市變動之影響為正向，台灣加權股價指數與北、高兩市房價指數變動在短期並無因果關係，在長期而言，台股大盤對北高房地產市場具長期單向因果關係，實證結果發現台股大盤對北高房地產具顯著領先關係。

Stock price and house price non-linear causal relationship between short and long-term research based on TAIEX index , Taipei city and Taipei county house price index from 2001 Q1 to 2012 Q4.
  　Research methods used by threshold autoregressive model, momentum-threshold autoregressive mode, further used by threshold error-correction model to find out the relationship between the changes on the house price of Taipei city and Kaohsiung City and the changes on TAIEX index .
	In the short term, the changes on TAIEX index and the changes on the house price of Taipei city and Kaohsiung City have no causal relationship. In the long term, the changes on TAIEX index have a significant ahead of changes on the house price of Taipei city and Kaohsiung City.

目錄
第一章 緒論..................................................................................................................... 1
第一節 背景動機 .................................................................................................. 1
第二節 研究目的.................................................................................................... 4
第三節 研究流程與步驟....................................................................................... 5
第四節 論文架構................................................................................................... 6
第二章 文獻回顧............................................................................................................ 7
第三章 資料來源與分析................................................................................................ 14
     第一節 台灣加權股價指數................................................................................ 15
第二節 臺北市、高雄市房價指數資料......................................................... 16
第三節 價及臺北市、高雄市房價指數之敘述性統計資料分析................. 19
第四章 研究方法...........................................................................................................20
第一節 單根檢定....................................................................................................21
第二節 門檻共整合檢定............................................................................... 26
第三節 門檻誤差修正模型.............................................................................. 30
第五章 實證結果與分析........................................................................................33
第一節 單根檢定.......................................................................................... 33
第二節 門檻共整合檢定......................................................................................34
第三節 門檻誤差修正模型之Granger因果關係檢定.......................................37
第六章 研究結論與建議.............................................................................43
第一節 研究結論.........................................................................................43
第二節 研究建議.......................................................................................46
參考文獻...........................................................................................47

圖目錄
（圖1.1）研究流程圖......................................................... 5
（圖3.1）2000.1-2013.3台灣加權股價指數價量表(月線) ................................ 15
（圖3.2）臺北市及高雄市房價指數資料2001年第1季至2012年第4季..........16

表目錄
（表3.1）國內相關房地產指數比較整理...........................................................17
（表3.2）台股大盤與北高房價指數敘述性統計資料表....................................19
（表 5.1）PP、KPSS及NP單根檢定..............................................................34
（表5.2）大盤與台北模型非線性共整合測試.........................................36
（表 5.3）大盤與高雄模型非線性共整合測試..........................................37
（表5.4）大盤與台北門檻誤差修正模型的估計.........................................39
（表 5.5）大盤與高雄房價指數門檻誤差修正模型的估計.............................42

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