原油和黃金市場之關聯性及混合效果

Correlation and Mixing Effects of Crude Oil and Gold Markets

路龍華(Lung-Hua Lu)

指導教授 ： 邱建良

共同指導教授 ： 黃健銘(Chien-Ming Huang)

淡江大學/商管學院/財務金融學系博士班/博士(2022年)

https://doi.org/10.6846/TKU.2022.00357

摘要

本研究運用CBP-GARCH 模型檢驗原油和黃金於2010年1月至2021年7月間的商品特性，捕捉原油和黃金在行情大幅波動時兩者報酬間共變異和共跳躍的關係，並以樣本期間內美中股市和美國公債利差的漲跌變化探究對原油和黃金報酬的影響，最後再根據原油和黃金商品特性的差異重新檢視將原油和黃金納入投資組合的效益。實證結果發現，原油和黃金商品市場間存在波動叢聚的現象，當股票市場風險意識升高或長短天期公債利差擴大時，對黃金報酬具有顯著性的影響，然而影響性並不存在於原油商品，顯現商品市場與金融市場間具有不對等的連動關係。此外當市場異常資訊發生時，原油和黃金報酬存在瞬時共同跳躍的變異特性，不過原油報酬的跳躍強度會高於黃金報酬的跳躍強度。此現象可歸因於原油市場係受到市場供需所影響，而黃金市場則扮演著避險與投資的混合特性。因此，根據本研究的實證結果也建議投資人在市場非預期資訊發生時，應考量商品市場與金融市場間不對等的跳躍波動，以有效控管投資組合內的風險程度。

關鍵字

CBP-GARCH模型 ； 共跳躍變異 ； 波動叢聚 ； 投資組合

並列摘要

This study uses the CBP-GARCH model to test the commodity characteristics of crude oil and gold from January 2010 to July 2021, and captures the relationship between the co-variation and co-jump between the returns of crude oil and gold when the market fluctuates greatly, and analyzes the relationship between crude oil and gold. The correlation between the U.S. and China stock market and U.S. Treasury bond spreads during the sample period was used to explore the impact on the returns of crude oil and gold. Finally, according to the differences in the commodity characteristics of crude oil and gold, we re-examined the impact of including crude oil and gold in the investment portfolio. benefit. The empirical results show that there is a phenomenon of volatility clustering among commodity markets. When the risk awareness of the stock market increases or the spread of long-term and short-term government bonds increases, it has a significant impact on gold returns. However, the impact does not exist in crude oil commodities. It shows that there is an unequal linkage between the commodity market and the financial market. In addition, when abnormal market information occurs, the returns of crude oil and gold have the variation characteristics of instantaneous common jumps, but the jump strength of crude oil returns will be higher than that of gold returns. This phenomenon can be attributed to the fact that the crude oil market is affected by market supply and demand, while the gold market plays a mixed characteristic of hedging and investment. Therefore, the empirical results of this study also suggest that investors should consider the asymmetric jump fluctuation variation between the commodity market and the financial market when unexpected market information is generated, so as to effectively control the risk level in the investment portfolio.

並列關鍵字

CBP-GARCH ； Jump Risk ； Volatility Cluster ； Portfolio

參考文獻

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