中國大陸股價、國際油價、國際金價之互動關係研究

隨著經濟全球化和區域經濟一體化,世界各地的金融市場互動性不斷增強。一個金融市場的價格不僅受到內部環境因素的影響,還受到其他市場資產價格波動的影響,即不同市場之間存在互動關係。股票市場作為國民經濟的風向標，能敏銳的反映出一國經濟走向。根據價格傳導機制原理，國際市場價格波動會帶動國內相關市場價格的波動，那麼國際油價、國際金價波動也將通過相關管道傳導至中國大陸股票市場。基於此，本研究探討國際油價、國際金價與中國大陸股價的互動關係。本研究在國內外相關研究成果的基礎上，以國際油價、國際金價與中國大陸股價為研究對象，圍繞三者的互動性這一中心議題進行研究。本研究運用Eviews計量經濟學軟體，分別建立了VAR模型、Granger因果檢驗等，選取2000年至2020年中國大陸的上證指數（SHI）、美國西德克薩斯輕質原油期貨價格（WTI）、世界黃金協會（WGC）提供的黃金價格的月數據作為資料來源。對國際油價與中國大陸股價、國際油價與國際金價、國際金價與中國大陸股價關聯性這三個方面進行實證檢驗與結論分析。最後，在理論分析與實證研究的基礎上，對全文進行總結。研究結果顯示，（1）中國大陸股價、國際油價、國際金價三者之間存在長期均衡關係。（2）國際金價為中國大陸股價的格蘭傑因果關係。（3）中國大陸股價、國際油價、國際金價三者對自身的衝擊反應均為正向的，且維持在較高水準。 *依本校個人資源管理規範，本表單各項個人資料僅作為業務處理使用，並於保存期限屆滿後，逕行銷毀。

關鍵字

股價；金價；油價；單根檢定；共整合檢定；向量自我回歸模型；衝擊反應函數； Granger因果檢定；預測誤差變異數分解

並列摘要

With economic globalization and regional economic integration, the interactivity of financial markets around the world is increasing. The price of a financial market is not only affected by the internal environmental factors, but also by the fluctuations of asset prices in other markets, that is, there is an interactive relationship between different markets. As the wind vane of national economy, the stock market can sensitively reflect the trend of a country's economy. According to the principle of price transmission mechanism, the price fluctuation of international market will drive the price fluctuation of domestic related market, so the fluctuation of international oil price and international gold price will also be transmitted to China's stock market through relevant channels. This study uses Eviews econometric software to establish VAR model and Granger causality test, and selects monthly data of SHI、WTI and gold price provided by the WGC)from 2000 to 2020 as data sources. This paper makes an empirical test and conclusion analysis on the correlation between international oil price and China's stock price, international oil price and international gold price, and international gold price and China's stock price. Finally, the results show that: (1) There is a long-term equilibrium relationship among Chinese mainland stock price, international oil price and international gold price. (2) International gold price is Granger causality of Chinese mainland stock price. (3) Chinese mainland stock price, international oil price and international gold price all reacted positively to themselves, and maintained at a high level. According to “TKU Personal Information Management Policy Declaration”,the personal information collected on this form is limited to this application only. This form will be destroyed directly over the deadline of reservations.

並列關鍵字

Stock price ； gold price ； oil price ； single root test ； cointegration test ； vector autoregressive model ； impact response function ； Granger causality ； testvariance decomposerrorition of prediction