黃金期現貨與台灣產業分類股價指數關聯性之研究

本研究探討黃金期、現貨與台灣產業分類股價指數(加權股價指數、水泥、食品、塑膠等共二十類)之關聯性。選取紐約黃金現貨、期貨價格及台灣分類股價指數為研究樣本。實證期間為2009年1月1日至2013年12月31日之日資料。應用時間序列之單根檢定，向量自我回歸（VAR）模型，Granger因果關係檢定，衝擊反應分析，預測誤差變異數分解等研究方法，來探討黃金期、現貨與台灣產業分類股價指數之關聯性。實證結果顯示，電器電纜指數變動率有單向領先黃金期、現貨價格變動率的現象；黃金現貨價格變動率有單向領先台灣加權股價、水泥工業、食品工業、紡織纖維、鋼鐵工業、汽車工業、電子類、金融保險、貿易百貨、油電燃氣指數變動率的現象。各分類股價指數變動率接受本身的衝擊最大，為短期正向之反應；各分類股價指數變動率對黃金期、現貨價格變動率的衝擊，除了電器電纜指數變動率為短期負向之衝擊外，皆無明顯之衝擊；台灣加權股價指數對各分類股價指數在第一期為正向之衝擊最明顯，黃金期、現貨價格變動率對各分類股價指數在第二期為正向之衝擊最明顯。各分類股價指數變動率會受本身自發性干擾程度非常高，不易受黃金期、現貨價格變動率的影響。

關鍵字

黃金現貨；黃金期貨；股價指數；向量自我迴歸模型

並列摘要

This purpose of the thesis is to examine the relationship between the gold spot prices, gold futures prices and stock indices (Referring to 20 different industrial stock indexes in Taiwan, including Cement, Foods, and Plastics etc.). Select New York gold spot, gold futures and different industrial stock indices in TAIWAN as study samples. The period of samples was from January 5th, 2009 to December 31th, 2013. Application of time series ADF root test, Vector Autoegression model, Granger Causality test, Impulse Response and Forecast Error Variance Decomposition were used to examine the relationship between the gold spot prices, gold future prices and stock index. The empirical results indicate that electrical cable type stock index is leading the gold spot prices and gold future prices. Gold spot prices is leading Taiex, cement , foods , textile fiber, iron, automobile, electronics, finance, wholesale, and oil ＆ electricity. Different industrial stock indices are mainly subjected to their own hit, with the positive short-term response. The impact of different industrial stock indices for gold spot prices except electrical cable type stock index with the negative short-term response. The impact of gold spot prices, gold future prices and Taiex for different industrial stock indices with the positive short-term response.

並列關鍵字

Gold Spot Prices ； Gold Futures Prices ； Stock Index ； VAR

參考文獻

[3] 葉翠如，2010，“金融海嘯前後黃金、原油、新臺幣匯率對台灣股市之實證研究”，國立台北大學企業管理研究所碩士論文。

[1] Akaika, H., 1974, “A new look at the statistical model identification”, IEEE Transactions on Automatic Control, 19(6), pp.716-723.

[2] Dickey and Fuller, 1979,“Distribution of the Estimator for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366a), pp.359-366.

[4] Granger, C.W.J., 1969, “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 37(3), pp.424-438.

[5] Moore, G.H., 1990, “Gold Prices and a Leading Index of Inflation” , Challenge, 33(4), pp.52-56.

國際替代計量

黃金期現貨與台灣產業分類股價指數關聯性之研究

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