黃金期貨對亞洲四小龍股市之報酬與風險傳遞效果之研究

The Transmission Mechanism of Return and Risk from Gold Futures to Four Asian Tigers Financial Assets

黃金註(Chin-Chu Huang)

指導教授 ： 楊永列

嶺東科技大學/財經學院/財務金融研究所/碩士(2015年)

摘要

本研究利用GARCH模型，探討自2007年至2015年，黃金現貨價格對亞洲四小龍之股票現貨市場〈台灣；香港；新加坡；韓國〉大盤指數報酬風險的傳遞分析。實證結果顯示均數方程式估計結果看出亞洲四小龍受黃金前一天報酬為正向統計顯著效果；變異數方程式估計結果表示亞洲四小龍市場未來的波動會受到前期未預期變動(新訊息)與前期報酬波動(舊訊息)的影響且變異數是非固定的是隨時間而改變。

關鍵字

黃金期貨骯 ； 亞洲股市 ； GARCH模型

並列摘要

The study adopted GARCH model to investigate the return and risk transmission effect between gold futures and the stock markets of the four Asian little dragon countries, Taiwan, Hong Kong, Singapore and South Korea, in the period of 2007 to 2015. The empirical results indicate the return of gold price influence the stock markets of the four Asian countries significantly. The waves of the stock markets of the four Asian little dragon countries is influenced by the unpredicted changes and the old news.

並列關鍵字

Gold Futures ； Four Asian Tigers Stock Returns ； GARCH Mode

參考文獻

一、 英文文獻

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