股票市場與金屬、原油市場間的報酬連動與波動外溢效果之研究

本研究採用動態條件相關係數DCC 模型與雙變量VAR-GARCH 模型，探討S&P500 股價指數與個別金屬(黃金、白銀、銅)市場、原油市場之間，跨市場之動態相關性以及波動外溢效果與波動傳遞機制。實證結果發現，S&P500 股價指數與各金屬、原油市場皆呈現單向之因果關係。且動態條件相關係數顯示，自2008 年開始，不論是金屬或原油市場與S&P500 股價指數之動態相關係數上下變動之幅度明顯劇烈，尤其在金融海嘯、量化寬鬆政策與歐債危機等國際市場的突發重大金融事件時，動態相關係數均出現低點且為負相關。隱含投資人若將金屬或原油等商品納入於股票投資組合中，可降低投資組合風險。透過雙變量VAR(1)-GARCH(1,1)模型發現，S&P500 股價指數與各金屬、原油市場之間存在顯著之波動外溢效果，S&P500 指數之過去波動度提高將加劇各金屬、原油市場的波動度。除了西德州原油以外，各金屬與布蘭特原油市場之過去波動度對S&P500 指數之波動效果並不顯著，由此可知跨市場波動外溢效果的傳遞機制主要係從S&P500 指數傳遞至金屬與原油市場，且在2008 年金融海嘯後有加大的影響作用。

關鍵字

金屬市場；原油市場；股票市場；動態相關係數；波動外溢效果

並列摘要

This paper employs the bivariate VAR-GARCH model and DCCs (dynamic conditional correlations) to investigate the return links and volatility transmission between the S&P 500 index and two commodity markets: metal and crude oil markets. The metal markets include the gold, silver and copper markets. The empirical result of Granger causality test shows that the returns of S&P500 index unidirectionally Granger cause the returns of gold, silver, copper, and crude oil. Furthermore, the DCCs between the S&P 500 index and the metal (or crude oil) markets fluctuate dramatically, especially during the periods of the Subprime Mortgage Crisis and Quantitative Easing monetary policy. Since the DCCs between the commodities and the S&P 500 index are negative in critical financial events, investors should add the metal and crude oil in the equity portfolio to manage their risk. The bivariate VAR(1)-GARCH(1,1) results support the notion of significant volatility spillover across equity and commodity markets. The past S&P 500 volatility has heightening effects on the volatilities of metal and oil markets. In contrast, the past volatilities of commodity markets, except WTI oil, have no significant effect on the S&P 500 volatility. Therefore, the volatility transmission takes place from the S&P 500 to the metal and crude oil markets; and the effect of transmission increases after the financial tsunami.