不動產指數衍生性商品發展概況與回顧：台灣房價指數衍生性商品發展與挑戰

The Development and Literature Survey on Property Derivatives: The Growing Challenge for Taiwan Housing Index Derivatives

有鑒於我國現有不動產投資工具相對有限，無法滿足投資人對資訊揭露、交易流動性與多元資產配置之需求，本文因此進行我國發展房價指數衍生性商品機會與挑戰的研究，希望未來能增加我國房地產投資與避險管道，以健全不動產市場之發展。本文介紹英美兩國不動產指數衍生性商品發展種類與歷程，回顧不動產指數衍生性商品訂價文獻，並採用Fabozzi et al.（2009, 2010）不動產指數衍生性商品訂價模型，以我國1998年第1季至2010年第2季的國泰全國房價指數與信義房屋台灣地區房價指數進行實證分析。實證結果顯示，國泰全國房價指數較符合Fabozzi et al.（2009, 2010）不動產指數衍生性商品訂價模型假設，故可據此提出我國房價指數衍生性商品發行訂價範例。此外，本文認為我國房價指數的編製仍有改善空間，建議主管機關整合現行統計資料，編製較能反映實際房市交易情況之房價指數，並可考慮每月發佈。

Due to the limited availability of real estate investment instruments in Taiwan, the demand for transparency, liquidity, and diversification by real estate investors has not been satisfied. This paper discusses the opportunities and challenges faced in developing Taiwan housing index derivatives, which may help to provide additional real estate investment and hedging instruments. We use the Cathay Real Estate Price Index (Cathay Index) and Sinyi Housing Price Index (Sinyi Index) to study the property derivatives pricing model developed by Fabozzi et al. (2009, 2010). The sample covers the period from the first quarter of 1998 to the second quarter of 2010. Our empirical results show that the stochastic process of the Cathay Index follows the mean reverting assumption in the logarithmic scale, and hence is more suitable than the Sinyi Index in applying the Fabozzi et al. (2009, 2010) model. We therefore use the Cathay Index as a paradigmatic example for Taiwanese property derivatives. Our study suggests that there is room for improvement in housing index construction, and that the government should take the lead in integrating the transaction data, and publishing the new Taiwan housing index on a monthly basis.