本研究探討黃金價格報酬、美元匯率波動與股價指數報酬的連動性,選取臺灣、新加坡、韓國三個國家為例。資料期間是從 1998 年 1 月 1 日到 2019 年 12 月 31 日,以向量誤差修正模型,分析各國股市報酬、美元匯率波動及黃金價格報酬之彼此關連性,並以檢定分析變數間的領先落後因果關係。在臺灣實證結果顯示,黃金價格報酬、臺灣加權股價指數報酬、臺幣兌美元匯率波動,兩兩變數之間都不會互相影響。新加坡實證結果顯示,在1%顯著水準下,新加坡幣兌換美元匯率波動及黃金價格報酬都會影響新加坡富時海峽時報指數報酬。在5%顯著水準下,新加坡富時海峽時報指數報酬會影響新加玻幣兌換美元匯率波動,新加坡幣兌換美元匯率波動會影響黃金價格報酬。韓國實證結果顯示,在10%顯著水準下,黃金價格報酬會對韓幣兌換美元匯率波動有影響,在1%顯著水準下,韓幣兌換美元匯率波動及黃金價格報酬都會影響韓國綜合股價指數報酬。
This study explores the linkage between gold price returns, dollar exchange rate fluctuations, and stock price index returns, taking Taiwan, Singapore, and South Korea as examples. The data period is from January 1, 1998 to December 31, 2019. The vector error correction model is used to analyze the correlation between stock market returns, dollar exchange rate fluctuations, and gold price returns of various countries, and a Granger Cau-sality analysis. Causality between leading and lagging variables. Taiwan's empirical results show that gold price compensation, Taiwan's weighted stock price index compensation, and the exchange rate of the Taiwan dollar against the US dollar will not affect each other. Singapore's empirical results show that at a significant level of 5%, Singapore's FTSE Straits Times Index returns will affect the exchange rate fluctuation of the new Canadian dollar to the US dollar. At a significant level of 1%, fluctuations in the exchange rate of the Singapore dollar to the US dollar and gold price compensation will affect the FTSE Straits Times Index compensation in Singapore. At a significant level of 5%, fluctuations in the exchange rate of Singapore dollar to US dollar will affect gold price returns. The empir-ical results of South Korea show that at a significant level of 10%, gold price compensation will affect the exchange rate fluctuation of the Korean won to the US dollar. At a signifi-cant level of 1%, the fluctuation of the exchange rate of the Korean won to the US dollar and the return of gold price will affect the comprehensive stock index return