- 學位論文
黃金、貨幣與比特幣對美國股市的避險功能研究
The hedging function of gold,currency,and bitcoin for the US stock market
摘要
過去的文獻指出，在 2008 年金融海嘯下，隨著股市的大跌，黃金具有避險的功能。隨著時序的推移，2018 年年初，美中貿易戰爆發，股市再度反轉向下，而 2020 年爆發的新冠肺炎，更是重創全球經濟。本論文目的在探討，在此貿易戰和疫情下，金融理論與實務中常用來作為避險工具的黃金、貨幣(包含日幣和瑞士法郎)，乃至於新興的金融科技商品比特幣，是否對美國股市具有避險的功能。實證結果發現，黃金在 2008 年金融危機和2018 年美中貿易戰下，能夠用來對美國股市避險，在平時和 2020 年新冠肺炎期間，黃金不具有避險的效果。日幣可以在平時和 2008 年金融危機期間用來避險，還能在美國股市極端波動下，作為良好的避風港。瑞士法郎對美國股市不具有避險的功能。比特幣則是可以在 2018 年美中貿易戰時發揮避險的作用，但無法在平時和 2020 年新冠肺炎期間拿來對沖股市。
並列摘要
The literature indicates that under the financial crisis of 2008, gold had the function of hedging when the stock market dropped sharply. With the passage of time, the China-United States trade war started in early 2018, and the stock market went down again. In 2020, the outbreak of the COVID-19 had adverse impact on the global economy. The purpose of this paper is to investigate whether gold, currency(including Japanese yen and Swiss franc), which are commonly used as hedging tools in financial theory and practice, and the emerging financial technology commodity bitcoin, have the function of hedging. The empirical results find that gold can hedge against the stock market during the financial crisis of 2008 and the China-United States trade war in 2018, but it has no hedging effect during the normal times and the COVID-19 in 2020. The Japanese yen is a hedging tool during the normal times and financial crisis of 2008, and it is a strong safe haven when the stock market is under the extreme volatility. The Swiss franc does not have a hedging function for the US stock market. Bitcoin can be used to hedge the China-United States trade war in 2018, but it can not be used to hedge against the stock market during the normal times and the COVID-19 in 2020.