黑天鵝事件和黃金價格

隨著全球經濟快速成長，金融市場與國際之間擁有著密切的關聯性，回顧發生過的金融事件中，曾多次撼動全球經濟體系及各個交易市場。本研究主要使用多元迴歸分析與ANOVA模型探討當全球黑天鵝事件發生時，黃金價格與道瓊工業指數、S&P500指數、NASDAQ指數與VIX指數的走勢，是否具有相關性與顯著效果，並採用黑天鵝事件發生當月與前後三個月之期間為此研究範圍。實證結果發現道瓊、S&P500、NASDAQ三種股票市場指數大部分具有顯著性，其中以S&P500指數較明顯，說明S&P500指數對於黃金價格之顯著性較其他兩者更強。然而透過股票指數對黃金價格分析之相關係數中可以發現，黃金價格與股票指數或VIX指數之方向性不全然與研究預期及大眾的認知相同。針對國際局勢以及黃金供需為主要檢討原因，政府實施之經濟政策可有效影響股票或黃金投資人對於事件發生時之心理；世界黃金協會之黃金供需數據亦顯示，研究期間全球黃金需求量有降低的情形。雖然如此，黃金價格在事件發生時有價格上漲或維持價格支撐的情形，仍具有規避風險的特性。

關鍵字

黑天鵝事件；黃金價格；多元迴歸分析；恐慌指數

並列摘要

With the rapid growth of the global economy, there is a close relationship between the financial market and the world. Looking back at the financial events in last twenty years, the global economic system and several trading markets have been shaken many times. This study mainly uses multiple regression analysis and ANOVA model to explore whether the gold price and the Dow Jones Industrial Index, S&P500 index, NASDAQ index and VIX index have any correlation, and significant effect when the black swan event occurs. The scope of the study is the month of the black swan event occurrence and three months before and after the black swan event. The empirical results find that the significance of three U.S. stock market indexes, Dow Jones, S&P500, and NASDAQ on Gold exist, the S&P500 index is more obvious, indicating that the S&P500 index is more significant for the performance of gold price than the other two. However, we also find the analysis of the correlation coefficient of the stock indexes and VIX on the gold price is not completely consistant based on the research expectations and the public perception. In view of the international gold supply and gold demand as the main reason for the review, the economic policies implemented by the government can effectively affect the psychology of stocks investors or gold investors when the black swan event occurred; the gold supply and demand data of the World Gold Council also showed that the global gold demand has decreased during the study periods of this study. Even so, we observe that the price of gold were up or maintained as support at the time of the black swan event, and this reveals the function of hedge of gold.