本文研究目的在於探討在金融風暴時期,投資者是否能以債券及黃金基金做為投資的避險工具。本研究運用避險模型、ADF單根檢定、共整合檢定以及Granger因果關係檢定,結果顯示,債券、黃金基金與股價指數存在長期穩定的關係,兩者對股價也存在領先-落後關係。此外,當股票市場處於危機時期,投資人可將債券與黃金基金作為避風港資產;但是當股票市場在一般情況下,債券、黃金基金與股票市場並不存在避險效果,因此無法作為投資人的投資避險組合工具。
This study aims to investigate whether the investors can use Treasury bonds and Gold funds as hedging instruments during the period of financial crisis. This study employs hedge model, ADF unit root test, Cointegration test and Granger Causality test to conduct the empirical study. The results show that there exist long term relations among Treasury bonds, Gold funds and Taiwan stock index. There also exist lead-lag relations among them. In addition, investors can regard Treasury bonds and gold funds as safe heavens in financial crisis period. However, this is not the case in usual period of time.