The Relationship between Equity and Commodity Markets during the Credit Crisis

金融海嘯期間股票市場及商品市場之關聯性

魏品揚(Ping-Yang Wei) ； 張元晨(Yuan-Chen Chang)

《經濟論文》 44卷1期 (2016/03) Pp. 93-125

摘要

本文主要是探討股票市場及商品市場的關聯性，實證結果發現澳洲、加拿大、智利、紐西蘭以及南非之股票市場的確可以預測商品市場現貨價格的走勢。除此之外，我們也發現在金融海嘯前後，股票市場之預測行為存在顯著差異。在金融海嘯之前，相比基準組模型，股票市場並無法顯著改善商品市場之預測成效。然而，在金融海嘯之後，我們發現股票市場不論在預測個別商品市場及全球商品市場之價格走勢，皆有良好的成效。

關鍵字

商品市場 ； 股票市場 ； 樣本外預測

並列摘要

This study explores the linkage between equity markets and commodity markets, finding that the stock price indices of Australia, Canada, Chile, New Zealand, and South Africa contain information about future movements in the commodity markets. We also show that these patterns are different before and after the recent financial crisis. In the pre-crisis period, models based on stock price indices do not outperform the benchmark model. However, in the post-crisis period we see that stock price indices help forecast the price changes of the associated commodity markets as well as aggregated commodity price movements.

並列關鍵字

Commodity market ； Equity market ； Out-of-sample forecast

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