本研究主要分析股價與黃金價格的關聯性,利用ADF單根檢定、共整合檢定、VAR向量自我迴歸模型及Granger因果關係檢定,來探討1993年01月至2019年2月間,紐約黃金現貨價格、美國S&P500指數、英國倫敦金融時報指數與中國上海指數四組變數間是否存在因果關係及連動性關係。 實證結果發現,四組變數間不存在共整合關係,表示變數間不存在長期穩定關係;在Granger因果關係檢定中,分別在1%及5%的顯著水準下,美國股價指數報酬及英國股價指數報酬對黃金報酬,具有領先關係,這表示美國股價指數報酬及英國股價指數報酬會影響黃金報酬的走勢;反過來說,黃金報酬沒有領先任何ㄧ個股價指數報酬,表示黃金報酬不會影響美國、英國及中國股價指數報酬的走勢。
This study uses the ADF unit root test, Cointegration test, VAR vector autoregression model, and Granger causality test to analyze the linkage of stock price and gold price between January 1993 and February 2019. To investigate whether there is a causal relationship and linkage among New York gold spot prices, the United States S&P500 stock price, the UK London stock price and the China Shanghai stock price. The empirical results show that there is no cointegration relationship among the four groups of variables, indicating that there is no long-term stable relationship among the variables; in the Granger causality test, at a significant level of 1% and 5%, respectively, US stock return and UK stock return has a leading relationship on gold price return, which means that US stock return and UK stock return house price index return will affect the performance of gold price return. On the other hand, gold price return doesn’t have a leading relationship on any stock price return, which means that gold price return will not affect US、UK and China stock return.